Signature Methods for Time Series Data || Sam Morley

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. Slides: https://github.com/inakleinbottle/talks/blob/9e6cdcb74dae62767a851194530fca6bcbdb6aa6/signatures-methods-for-time-series-data.pdf PUBLICATION PERMISSIONS:
PyData provided Coding Tech with the permission to republish PyData videos. CREDITS:
PyData YouTube channel: https://www.youtube.com/c/PyDataTV https://www.youtube.com/watch?v=xfjMY8CF0lw