论文标题

热带时间序列,迭代和标志和准对称函数

Tropical time series, iterated-sums signatures and quasisymmetric functions

论文作者

Diehl, Joscha, Ebrahimi-Fard, Kurusch, Tapia, Nikolas

论文摘要

为了实现时间序列的系统特征萃取,我们在任意交换性的半段中介绍了迭代和签名。热带半度的情况是一个核心,也是我们激励人心的榜样。它导致(实价)时间序列的功能,使用现有签名型对象不容易获得。我们演示了签名提取物如何按时间序列的时间顺序排列,并且在线性时间内进行了计算。我们将半对称表达式确定为半含量值时间序列的迭代和签名的适当框架。

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.

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