Iterated-sums signature, quasi-symmetric functions and time series analysis

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wias_preprints_2736.pdf (270.41 KB)

Date

2020

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Volume

2736

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WIAS Preprints

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Publisher

Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik

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https://doi.org/10.20347/WIAS.PREPRINT.2736

Abstract

We survey and extend results on a recently defined character on the quasi-shuffle algebra. This character, termed iterated-sums signature, appears in the context of time series analysis and originates from a problem in dynamic time warping. Algebraically, it relates to (multidimensional) quasisymmetric functions as well as (deformed) quasi-shuffle algebras.

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Keywords

Shuffle and quasi-shuffle Hopf algebras, half-shuffles, iterated integral- and sum-signatures, quasi-symmetric functions, Hoffmans's exponential

Keywords GND

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Report

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publishedVersion

URI

https://oa.tib.eu/renate/handle/123456789/9386
 https://doi.org/10.34657/8424

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Mathematik
WIAS Preprints

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