| Autor: |
Reise, Wojciech, Michel, Bertrand, Chazal, Frédéric |
| Rok vydání: |
2023 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
We present a method to construct signatures of periodic-like data. Based on topological considerations, our construction encodes information about the order and values of local extrema. Its main strength is robustness to reparametrisation of the observed signal, so that it depends only on the form of the periodic function. The signature converges as the observation contains increasingly many periods. We show that it can be estimated from the observation of a single time series using bootstrap techniques. |
| Databáze: |
arXiv |
| Externí odkaz: |
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