Path Signatures for Feature Extraction. An Introduction to the Mathematics Underpinning an Efficient Machine Learning Technique
It provides an introductory overview for students, making it incremental as it does not present new research findings.
The paper introduces path signatures as a feature extraction technique for machine learning from data streams, focusing on the mathematical theory behind the methodology without detailed proofs.
We provide an introduction to the topic of path signatures as means of feature extraction for machine learning from data streams. The article stresses the mathematical theory underlying the signature methodology, highlighting the conceptual character without plunging into the technical details of rigorous proofs. These notes are based on an introductory presentation given to students of the Research Experience for Undergraduates in Industrial Mathematics and Statistics at Worcester Polytechnic Institute in June 2024.