From Jumps to Signatures: a Generative Method for Temporal Point Processes

arXiv:2607.06652v1 Announce Type: new Abstract: Rough path signatures are a universal feature map for continuous paths and, via the expected signature, characterise path distributions. These guarantees do not directly extend to cadlag paths of Temporal Point Processes (TPPs), limiting the use of signature methods for event sequences. Furthermore, neural TPP models, including recent generative approaches, optimise per-event objectives with no global sequence-level loss, while evaluation of variab...