|
|||||
|
|
Invariants of Multidimensional Time Series Based on Their Iterated-Integral Signature |
|
| Authors: | Diehl Joscha Reizenstein Jeremy |
| Institution: | 1.Max Planck Institute for Mathematics in the Sciences, Leipzig, Germany ;2.Centre for Complexity Science, University of Warwick, Coventry, UK ; |
| Abstract: | 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. |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ | |