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

01/18/2018

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by   Joscha Diehl, et al.

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