Local structure and effective dimensionality of time series data sets

Abstract

The goal of this paper is to develop novel tools for understanding the local structure of systems of functions, e.g. time-series data points. The proposed tools include a total correlation function, the Cohen class of the data set, the data operator and the average lack of concentration. The Cohen class of the data operator gives a time-frequency representation of the data set. Furthermore, we show that the von Neumann entropy of the data operator captures local features of the data set and that it is related to the notion of effective dimensionality. The accumulated Cohen class of the data operator gives us a low-dimensional representation of the data set and we quantify this in terms of the average lack of concentration and the von Neumann entropy of the data operator and an improvement of the Berezin-Lieb inequality using the projection functional of the data augmentation operator. The framework for our approach is provided by quantum harmonic analysis.