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

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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