“电子信息名家讲坛” 是电子工程系主办的系列活动，旨在建立世界一流的电子信息领域学术交流平台，拓展广大师生的学术视野。
本期讲坛有幸邀请Xin Guo教授作题为《Signature-based time series statistical analysis》的报告。
讲座时间、地点
6月12日16:3 0-18:00
地点：清华大学电子工程馆9-208
演讲主题
基于签名变换的时间序列统计分析
Signature-based time series statistical analysis
演讲内容简介
Signature transform has recently gained significant attention in the theory of stochastic analysis. In this talk, I will discuss how the signature transform can be exploited to address several long standing challenges in analyzing time series data, which are typically non-stationary, nonlinear, and often fragmented, and for which modern deep learning models are inappropriate due to limited interpretability and in principle require large volumes of training data. In particular, we propose a simple signature-based adaptive Lasso approach that has been successfully developed and implemented in industry. This method addresses many of the challenges mentioned above while demonstrating strong potential for a wide range of applications.
The talk will begin with a brief introduction to the signature transform, which has its origins in topology and has been extensively developed within the rough path theory. We will then review the key properties of the signature transform that are most relevant to our statistical methodology. The talk is intended to be self-contained.
演讲嘉宾介绍
Dr. Xin Guo holds the Coleman Fung Chair professorship and chairs the IEOR department at UC Berkeley. She previously held positions at Cornell (2003-2006) and IBM research (1999-2003). She is a well-recognized and influential scholar whose research spans stochastic processes, control and games, and machine learning. She has been on the editorial boards of a number of leading journals, including Operations Research, Mathematics of Operations Research, SIAM Control and Optimization, and Mathematical Finance. Her work connects rigorous mathematical methods with important applications in finance, data science, biology, and healthcare. Notably, her work has been adopted by industry, with hundreds of millions of dollars in cost savings. She has also laid the mathematical foundation for some early- cancer-detection methodologies, approved by FDA.
供稿｜通信研究所
编辑｜陶旋姿
审核｜余潇潇 沈 渊 李 洪
