Joscha Diehl
Tropical time series, iterated-sums signatures and quasisymmetric functions
Abstract
Driven by the need for principled extraction of features from time series, we introduce the iterated-sums signature over any commutative semiring. The case of the tropical semiring is a central, and our motivating, example, as it leads to features of (real-valued) time series that are not easily available using existing signature-type objects.
This is joint work with Kurusch Ebrahimi-Fard (NTNU Trondheim) and Nikolas Tapia (WIAS Berlin).
Our speaker
Joscha finished his PhD on topics in rough path theory at the TU Berlin in 2012 under the supervision of Peter Friz. After several postdoc positions in San Diego, Berlin and Leipzig, he is now Junior professor of Stochastic Analysis at the University of Greifswald.
Joscha's main interest lies in applying algebraic methods to topics in stochastic analysis, statistics and data science.
Personal webpage: https://diehlj.github.io/
