Explicit density for singular values of Lévy's area matrix, determinantal point process characterization, and d to infinity asymptotics including absolute Cauchy limit.
Invariants of multidimensional time series based on their iterated-integral signature
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abstract
We introduce a novel class of features for multidimensional time series, that are invariant with respect to transformations of the ambient space. The general linear group, the group of rotations and the group of permutations of the axes are considered. The starting point for their construction is Chen's iterated-integral signature.
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2026 1verdicts
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The Singular Values of L\'evy's Area Matrix
Explicit density for singular values of Lévy's area matrix, determinantal point process characterization, and d to infinity asymptotics including absolute Cauchy limit.