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

1 code implementation • 24 Jul 2023 • William Andersson, Jakob Heiss, Florian Krach, Josef Teichmann

The Path-Dependent Neural Jump Ordinary Differential Equation (PD-NJ-ODE) is a model for predicting continuous-time stochastic processes with irregular and incomplete observations.

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