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arXiv · 2305.04625

The Signature Kernel

Darrick Lee·Harald Oberhauser
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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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Darrick Lee, Harald Oberhauser. 2023-05-08. The Signature Kernel. https://arxiv.org/abs/2305.04625

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