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stat.ML2023
On Consistency of Signature Using Lasso
Xin Guo, Binnan Wang, Ruixun Zhang +1
Signatures are iterated path integrals of continuous and discrete-time processes, and their universal nonlinearity linearizes the problem of feature selection in time series data a…
stat.ML2021
The Success of AdaBoost and Its Application in Portfolio Management
Yijian Chuan, Chaoyi Zhao, Zhenrui He +1
We develop a novel approach to explain why AdaBoost is a successful classifier. By introducing a measure of the influence of the noise points (ION) in the training data for the bin…