将截断签名反演转为概率问题,学习路径的条件分布。
Probabilistic Signature Inversion: Learning Conditional Distributions from Truncated Signatures

- 用签名条件流匹配模型估计路径的条件分布。
- 理论推导出线性统计量下的贝叶斯最优误差,作为验证基准。
- 在真实金融数据上验证了方法的有效性与校准性。
签名变换是连续时间路径的合理特征映射,因其唯一性和普遍性而受到重视。然而,从截断签名恢复路径在结构上是不适定的,因为截断签名映射并非单射。因此,我们将截断签名反演重新构造成一个概率问题——学习给定截断签名时路径的条件分布,并采用签名条件流匹配模型作为实用估计器。该概率表述揭示了反演的根本困难:贝叶斯重构误差量化了在条件化于统计量后仍存在的不可约不确定性。我们在线性统计量下推导出贝叶斯最优误差,获得了对数-几何布朗运动(log-GBM)的闭式解,以及对数-分数布朗运动(log-fBM)和奥恩斯坦-乌伦贝克过程(OU)的数值可处理公式,为模型验证提供了具体的理论基准。该基准上界于截断签名条件下的贝叶斯误差,因为截断签名提供的信息比线性统计量更丰富。实验表明,线性统计量条件下经验重构误差与理论基准高度一致;当统计量替换为截断签名时,误差进一步下降。此外,生成路径能准确恢复条件签名,同时保留关键的分布和时间结构,表明估计器与目标条件分布良好校准。这些结果共同建立了一个良定义的概率框架用于截断签名反演,并在真实金融数据上展示了其适用性,超越了理论覆盖的参数过程族。
原文摘要 · Abstract (English)
The signature transform is a principled feature map for continuous-time paths, valued for its uniqueness and universality. Recovering a path from its truncated signature is, however, structurally ill-posed because the truncated signature map is not injective. We therefore reframe truncated signature inversion as a probabilistic problem -- learning the conditional distribution of a path given its truncated signature -- and adopt a signature-conditioned flow matching model as a practical estimator. This probabilistic formulation elucidates the fundamental difficulty of inversion: Bayes reconstruction error quantifies the irreducible uncertainty remaining after conditioning on a statistic. We derive the Bayes-optimal error under linear statistics, obtaining a closed form for log-GBM and numerically tractable formulas for log-fBM and OU, yielding a concrete theoretical baseline for model validation. This baseline upper-bounds the Bayes error under truncated-signature conditioning, since truncated signatures provide richer information than linear statistics. Experiments show that empirical reconstruction errors under linear-statistics conditioning faithfully align with the theory-derived baseline, while errors decrease when the statistic is replaced with truncated signatures. Moreover, generated paths faithfully recover the conditioning signature while preserving key distributional and temporal structures, indicating that the estimator is well-calibrated to the target conditional distribution. Together, these results establish a well-posed probabilistic framework for truncated-signature inversion, with applicability demonstrated on real financial data beyond the parametric process families covered by theory.
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