Andrea Figini (University of Osnabrück)
Title T.B.A.
13:15 • UZH Irchel, Winterthurerstrasse 190, Zürich, Building Y27, Room H 25
Dr. Dorian Martino (ETH Zürich, Switzerland)
Title T.B.A.
15:15 • ETH Zentrum, Rämistrasse 101, Zürich, Building HG, Room G 43
Christian Bayer (WIAS Berlin)
Global and local regression: a signature approach with applications abstract
Abstract:
The path signature is a powerful tool for solving regression problems on path space, i.e., for computing conditional expectations $\\mathbb{E}[Y | X]$ when the random variable $X$ is a stochastic process -- or a time-series.We provide new theoretical convergence guarantees for two different, complementary approaches to regression using signature methods.In the context of global regression, we show that linear functionals of the robust signature are universal in the $L^p$ sense in a wide class of examples.In addition, we present a local regression method based on signature semi-metrics, and show universality as well as rates of convergence. Based on joint works with Davit Gogolashvili, Luca Pelizzari, and John Schoenmakers.
16:15 • EPF Lausanne, CM 1 517
Raffaele Lomartire (Universität Zürich)
What is... diffeology?
16:30 • UZH Zentrum, Building KO2, Room F 150