Research Group "Stochastic Algorithms and Nonparametric Statistics"

Seminar "Modern Methods in Applied Stochastics and Nonparametric Statistics" Summer Semester 2018

  • Place: Weierstrass-Institute for Applied Analysis and Stochastics, Room 406 (4th floor), Mohrenstraße 39, 10117 Berlin
  • Time: Tuesdays, 3:00PM - 4:00PM
17.04.2018 Prof. Peter Friz (WIAS und TU Berlin)
Algebraic statistics meets rough paths, joint work with C. Armendola and B. Sturmfels
The signature of a parametric curve is a sequence of tensors whose entries are iterated integrals. This construction is central to the theory of rough paths in stochastic analysis. It is here examined through the lens of algebraic geometry. We introduce varieties of signature tensors for both deterministic and random paths. For the former, we focus on piecewise linear paths, on polynomial paths, and on varieties derived from free nilpotent Lie groups. For the latter, we focus on Brownian motion and its mixtures.

01.05.18 Public holiday



last reviewed: April 12, 2018, Christine Schneider