Sig-Splines: universal approximation and convex calibration of time series generative models

07/19/2023

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by   Magnus Wiese, et al.

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We propose a novel generative model for multivariate discrete-time time series data. Drawing inspiration from the construction of neural spline flows, our algorithm incorporates linear transformations and the signature transform as a seamless substitution for traditional neural networks. This approach enables us to achieve not only the universality property inherent in neural networks but also introduces convexity in the model's parameters.