Reviews: Deep Signature Transforms

Summary The authors propose to use a already known method as a pooling function for time series. The idea is to leverage an integral transform, the *path signature*, to map a discretized curve on a real valued sequence. Truncation leads to a vectorized representation which is then used in practice. The proposed transformation is differentiable and thus can be integrated into models trained via backpropagation in an end-to-end manner. As the transformation consumes the one dimension, i.e. the time, stacking it requires to reintroduce a time series like structure in the output.