STATSCALE SEMINARS
PREVIOUS SEMINAR - 21st May 2021

Speaker: Hao Ni (University College London)

Title: Sig-Wasserstein Generative models to generate realistic synthetic time series. 

Abstract: Wasserstein generative adversarial networks (WGANs) have been very successful in generating samples, from seemingly high dimensional probability measures. However, these methods struggle to capture the temporal dependence of joint probability distributions induced by time-series data. Moreover, training WGANs is computational expensive due to the min-max formulation of the loss function. To overcome these challenges, we integrate Wasserstein GANs with mathematically principled and efficient path feature extraction called the signature of a path. The signature of a path is a graded sequence of statistics that provides a universal and principled description for a stream of data, and its expected value characterises the law of the time-series model. In particular, we develop a new metric, (conditional) Sig-W1, that captures the (conditional) joint law of time series models, and use it as a discriminator. The signature feature space enables the explicit representation of the proposed discriminators which alleviates the need for expensive training. We validate our method on both synthetic and empirical dataset and our method achieved the superior performance than the other state-of-the-art benchmark methods. This is the joint work with Lukasz Szpruch (Uni of Edinburgh), Magnus Wiese (Uni of Kaiserslautern), Shujian Liao (UCL), Baoren Xiao(UCL).

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