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🏢 Institute of Mathematical Sciences

High Rank Path Development: an approach to learning the filtration of stochastic processes
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AI Applications Finance 🏢 Institute of Mathematical Sciences
High-Rank PCF-GAN uses a novel metric (HRPCFD) based on high-rank path development to learn filtration of stochastic processes, outperforming state-of-the-art methods in hypothesis testing and time-se…