Extending Path-Dependent NJ-ODEs to Noisy Observations and a Dependent Observation Framework

07/24/2023
by   William Andersson, et al.
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The Path-Dependent Neural Jump ODE (PD-NJ-ODE) is a model for predicting continuous-time stochastic processes with irregular and incomplete observations. In particular, the method learns optimal forecasts given irregularly sampled time series of incomplete past observations. So far the process itself and the coordinate-wise observation times were assumed to be independent and observations were assumed to be noiseless. In this work we discuss two extensions to lift these restrictions and provide theoretical guarantees as well as empirical examples for them.

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