Fri, 17 Jun 2016
13:00 -
14:30
L3
Inferring the order of events
Harald Oberhauser
(Oxford University SAG)
Abstract
Mining massive amounts of sequentially ordered data and inferring structural properties is nowadays a standard task (in finance, etc). I will present some results that combine and extend ideas from rough paths and machine learning that allow to give a general non-parametric approach with strong theoretical guarantees. Joint works with F. Kiraly and T. Lyons.