Signature inversion for monotone paths Academic Article uri icon


  • 2017, University of Washington. All rights reserved. The aim of this article is to provide a simple sampling procedure to reconstruct any monotone path from its signature. For every N, we sample a lattice path of N steps with weights given by the coefficient of the corresponding word in the signature. We show that these weights on lattice paths satisfy the large deviations principle. In particular, this implies that the probability of picking up a wrong path is exponentially small in N. The argument relies on a probabilistic interpretation of the signature for monotone paths.

published proceedings


altmetric score

  • 0.25

author list (cited authors)

  • Chang, J., Duffield, N., Ni, H., & Xu, W.

citation count

  • 3

complete list of authors

  • Chang, Jiawei||Duffield, Nick||Ni, Hao||Xu, Weijun

publication date

  • January 2017