Iterated-sums signature, quasisymmetric functions and time series analysis

MaRDI QIDQ2199889zbMATHFDO

Authors Joscha Diehl, Nikolas Tapia, Kurusch Ebrahimi-Fard

Publication date 14 September 2020

Published in Séminaire Lotharingien de Combinatoire (Search for Journal in Brave)

Full work available at URL http://www.mat.univie.ac.at/~slc/wpapers/FPSAC2020//86.html

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zbMATH Keywords

quasisymmetric functionsHoffman's exponentialhalf-shufflesiterated integral- and sum-signaturesshuffle and quasi-shuffle Hopf algebras

Mathematics Subject Classification ID

Symmetric functions and generalizations (05E05) Hopf algebras and their applications (16T05) Connections of Hopf algebras with combinatorics (16T30) Combinatorial aspects of groups and algebras (05E16)

Recommendations

• Tropical Time Series, Iterated-Sums Signatures, and Quasisymmetric Functions
• Algorithm 1004: the iisignature library: efficient calculation of iterated-integral signatures and log signatures
• Time-warping invariants of multidimensional time series
• Invariants of multidimensional time series based on their iterated-integral signature
• Ordered Forests, Permutations, and Iterated Integrals

Cites work

• scientific article; zbMATH DE number 417855 (Why is no real title available?)
• An introduction to quasisymmetric Schur functions. Hopf algebras, quasisymmetric functions, and Young composition tableaux.
• Differential equations driven by rough signals
• Duality between quasi-symmetric functions and the Solomon descent algebra
• Free quasi-symmetric functions and descent algebras for wreath products, and noncommutative multi-symmetric functions
• Iterated Integrals and Exponential Homomorphisms^†
• Lie elements and an algebra associated with shuffles
• Multidimensional stochastic processes as rough paths. Theory and applications.
• Quasi-shuffle products
• Quasi-shuffle products revisited
• The algebra of iterated stochastic integrals

Cited in

(5)

• New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting)
• Algorithm 1004: the iisignature library: efficient calculation of iterated-integral signatures and log signatures
• Time-warping invariants of multidimensional time series
• Invariants of multidimensional time series based on their iterated-integral signature
• Tropical Time Series, Iterated-Sums Signatures, and Quasisymmetric Functions

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