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

2018/01/18 by Joscha Diehl, Diehl, Joscha, Jeremy Reizenstein +1 · 3 citations
Biochemistry, Genetics and Molecular Biology · Computer Science · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Computer Vision and Pattern Recognition (cs.CV) #FOS: Computer and information sciences #FOS: Mathematics #Fractal and DNA sequence analysis #Representation Theory (math.RT) #Time Series Analysis and Forecasting

paper · pdf · doi:10.48550/arxiv.1801.06104

openalex publication_date 2018/01/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We introduce a novel class of features for multidimensional time series, that\nare invariant with respect to transformations of the ambient space. The general\nlinear group, the group of rotations and the group of permutations of the axes\nare considered. The starting point for their construction is Chen's\niterated-integral signature.\n

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• On the Structure of Multilinear Invariants of a Finite Unitary Reflection Group
• Large Deviations for Iterated Sums and Integrals
• Expected signatures via partial integration, coordinate change and symmetrization

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