Tropical time series, iterated-sums signatures and quasisymmetric functions

17 Sep 2020  ·  Joscha Diehl, Kurusch Ebrahimi-Fard, Nikolas Tapia ·

Driven by the need for principled extraction of features from time series, we introduce the iterated-sums signature over any commutative semiring. The case of the tropical semiring is a central, and our motivating, example, as it leads to features of (real-valued) time series that are not easily available using existing signature-type objects...

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