This talk is motivated by the following question: "how can one reconstruct the geometry of a state space given a collection of observed time series?" A well-studied technique for metric fusion is Similarity Network Fusion (SNF), which works by mixing random walks. However, SNF behaves poorly in the presence of correlated noise, and always reconstructs an intrinsic metric. We propose a new methodology based on delay embeddings, together with a simple orthogonalization scheme that uses the tangency data contained in delay vectors. This method shows promising results for some synthetic and real-world data. The authors suspect that there is a theorem or two hiding in the background -- wild speculation by audience members is encouraged.
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- Applied Topology Seminar