Tropical time series, iterated-sums signatures and quasisymmetric functions

09/17/2020
by   Joscha Diehl, et al.
0

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 availableusing existing signature-type objects.

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