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The Signature Kernel
Published 8 May 2023 in math.PR, cs.LG, and stat.ML | (2305.04625v1)
Abstract: The signature kernel is a positive definite kernel for sequential data. It inherits theoretical guarantees from stochastic analysis, has efficient algorithms for computation, and shows strong empirical performance. In this short survey paper for a forthcoming Springer handbook, we give an elementary introduction to the signature kernel and highlight these theoretical and computational properties.
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