Invariants of multidimensional time series based on their iterated-integral signature

DOI10.1007/s10440-018-00227-zzbMath1428.62391arXiv1801.06104OpenAlexW2962891742WikidataQ128703396 ScholiaQ128703396MaRDI QIDQ2334757

Joscha Diehl, Jeremy Reizenstein

Publication date: 7 November 2019

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.06104

zbMATH Keywords

invariantstime seriessignaturecurves

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (11)

Time-warping invariants of multidimensional time series ⋮ The moving-frame method for the iterated-integrals signature: orthogonal invariants ⋮ A structure theorem for streamed information ⋮ Convex hulls of curves: volumes and signatures ⋮ Signatures of paths transformed by polynomial maps ⋮ Toric geometry of path signature varieties ⋮ Learning Paths from Signature Tensors ⋮ VARIETIES OF SIGNATURE TENSORS ⋮ New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting) ⋮ A quadratic identity in the shuffle algebra and an alternative proof for de Bruijn's formula ⋮ signature-invariants

Uses Software

• GitHub

Cites Work

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