From Jumps to Signatures: a Generative Method for Temporal Point Processes
Rough path signatures are a universal feature map for continuous paths and, via the expected signature, characterise path distributions. These guarantees do not directly extend to cadlag paths of Temporal Point Processes (TPPs), limiting the use of signature methods for event sequences. Furthermore, neural TPP models, including recent generative approaches, optimise per-event objectives with no global sequence-level loss, while evaluation of variable-length event sequences lacks distributional discrepancy measures. This paper proposes a common pathwise framework for addressing these limitations. We introduce the interarrival embedding, a stable, injective lift from jump paths to continuou...
| Authors | Niels Cariou-Kotlarek, Vasileios Lampos |
|---|---|
| Primary category | cs.LG |
| Published | 7 July 2026 |
| Last updated at source | 7 July 2026 |
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