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Invariants of multidimensional time series based on their iterated-integral signature. (English) Zbl 1428.62391

Summary: 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.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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