5-7 Apr 2023 Montpellier (France)

Program > Posters > Mignot Raphael

Averaging time series: a new approach using the iterated integrals signature method.
Raphael Mignot  1@  
1 : Institut Élie Cartan de Lorraine
Université de Lorraine, Centre National de la Recherche Scientifique, Centre National de la Recherche Scientifique : UMR7502

The aim of our work is to average multidimensional time series. We will go through their representation with integrals of various moment orders, constituting their signature. We suggest to take advantage of the Lie group structure to average signatures, using the exp and log operation of the group. We demonstrate the purpose of such method on a classical time series classification and clustering tasks.

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