Signatures are a mathematical tool that arise in the study of paths. Roughly speaking, they capture the fine structure of a path. It turns out that signatures are extremely useful for analysing time series data in a data science context. This is party because they can take irregularly sampled, highly oscillatory data and produce a single array of values of fixed size which can then be used as features in predictors etc. In this talk I will give a brief introduction to signatures and give a brief demonstration of how you can use them to analyse time series data. No mathematical background will be assumed.

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Path Signatures for Time Series Analysis
1.00 GEEK