Sliding windows and persistence: an application of topological methods to signal analysis
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Publication:2355335
Abstract: We develop in this paper a theoretical framework for the topological study of time series data. Broadly speaking, we describe geometrical and topological properties of sliding window (or time-delay) embeddings, as seen through the lens of persistent homology. In particular, we show that maximum persistence at the point-cloud level can be used to quantify periodicity at the signal level, prove structural and convergence theorems for the resulting persistence diagrams, and derive estimates for their dependency on window size and embedding dimension. We apply this methodology to quantifying periodicity in synthetic data sets, and compare the results with those obtained using state-of-the-art methods in gene expression analysis. We call this new method SW1PerS which stands for Sliding Windows and 1-dimensional Persistence Scoring.
This paper develops a theoretical framework for the topological study of time series data. A particular interest is the detection of periodicity. The approach is to to study the persistent homology of sliding window embeddings. This seems quite natural as persistent homology is based on noting the birth and death of homology classes. In this case the time axis provides the level map required for persistent homology. Periodicity can be inferred in 1D persistence from the maximum persistence based on window size which measures the \textit{roundness} of the data cloud. The authors motivate and illustrate their approach by examining truly periodic examples, which is a great help for the reader. The methodology is applied to identify periodicity in synthetic data sets and compared with those used in state-of-the-art methods in gene expression analysis.
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- ANAPT: additive noise analysis for persistence thresholding
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- Pruning vineyards: updating barcodes and representative cycles by removing simplices
- Null-validated topological signatures of financial market dynamics
- Spatiotemporal persistence landscapes
- A persistence landscapes toolbox for topological statistics
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