Tropical time series, iterated-sums signatures and quasisymmetric functions
arXiv:2009.08443 · doi:10.1137/20M1380041
Abstract
Aiming for a systematic feature-extraction from time series, we introduce the iterated-sums signature over arbitrary commutative semirings. The case of the tropical semiring is a central, and our motivating example. It leads to features of (real-valued) time series that are not easily available using existing signature-type objects. We demonstrate how the signature extracts chronological aspects of a time series, and that its calculation is possible in linear time. We identify quasisymmetric expressions over semirings as the appropriate framework for iterated-sums signatures over semiring-valued time series.
arXiv commentfix notational errors, clarify certain proofs
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