Time-warping invariants of multidimensional time series

DOI10.1007/S10440-020-00333-XzbMATH Open1460.62145arXiv1906.05823OpenAlexW3106079343MaRDI QIDQ829561FDOQ829561

Authors: Joscha Diehl, Kurusch Ebrahimi-Fard, Nikolas Tapia 

Publication date: 6 May 2021

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

Abstract: In data science, one is often confronted with a time series representing measurements of some quantity of interest. Usually, as a first step, features of the time series need to be extracted. These are numerical quantities that aim to succinctly describe the data and to dampen the influence of noise. In some applications, these features are also required to satisfy some invariance properties. In this paper, we concentrate on time-warping invariants. We show that these correspond to a certain family of iterated sums of the increments of the time series, known as quasisymmetric functions in the mathematics literature. We present these invariant features in an algebraic framework, and we develop some of their basic properties.

Full work available at URL: https://arxiv.org/abs/1906.05823

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zbMATH Keywords

time series analysisHopf algebrasignaturequasisymmetric functionstime warpingquasi-shuffle productarea-operationHoffman's exponentialstanding-still invariance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Symmetric functions and generalizations (05E05) Connections of Hopf algebras with combinatorics (16T30) Signatures and data streams (60L10)

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Cited In (13)

• Central extensions of filiform Zinbiel algebras
• Invariants of multidimensional time series based on their iterated-integral signature
• Symmetric Zinbiel superalgebras
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• Stability of Deep Neural Networks via Discrete Rough Paths
• Tropical Time Series, Iterated-Sums Signatures, and Quasisymmetric Functions
• Iterated-sums signature, quasisymmetric functions and time series analysis
• Central extensions of 3-dimensional Zinbiel algebras

Uses Software

• signature-invariants

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