Measures of distinguishability between stochastic processes

• Main Authors: Yang, Chengran, Binder, Felix C., Gu, Mile, Elliott, Thomas J.
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2021
• Subjects: Science::Physics; Stochastic Processes; Information Theory
• Online Access: https://hdl.handle.net/10356/146526
• Institution: Nanyang Technological University

Quantifying how distinguishable two stochastic processes are is at the heart of many fields, such as machine learning and quantitative finance. While several measures have been proposed for this task, none have universal applicability and ease of use. In this article, we suggest a set of requirement...