Tropical Time Series, Iterated-Sums Signatures, and Quasisymmetric Functions

Abstract

Aiming for a systematic feature extraction from time series, we introduce the iterated-sums signature over arbitrary commutative semirings. The case of the tropical semiring is a central, and our motivating, example. It leads to features of (real-valued) time series that are not easily available using existing signature-type objects. We demonstrate how the signature extracts chronological aspects of a time series and that its calculation is possible in linear time. We identify quasisymmetric expressions over semirings as the appropriate framework for iterated-sums signatures over semiring-valued time series.