Signature Cumulants, Ordered Partitions, and Independence of Stochastic Processes

TL;DR

This paper introduces signature cumulants, linking them to ordered partitions, and demonstrates their utility in characterizing independence of stochastic processes and constructing efficient estimators.

Contribution

It develops a combinatorial framework for signature cumulants, relating them to ordered partitions, and applies this to independence characterization and estimator construction.

Findings

Signature cumulants relate to ordered partitions.

New characterization of process independence.

Unbiased minimum-variance estimators constructed.

Abstract

The sequence of so-called signature moments describes the laws of many stochastic processes in analogy with how the sequence of moments describes the laws of vector-valued random variables. However, even for vector-valued random variables, the sequence of cumulants is much better suited for many tasks than the sequence of moments. This motivates us to study so-called signature cumulants. To do so, we develop an elementary combinatorial approach and show that in the same way that cumulants relate to the lattice of partitions, signature cumulants relate to the lattice of so-called "ordered partitions". We use this to give a new characterisation of independence of multivariate stochastic processes; finally we construct a family of unbiased minimum-variance estimators of signature cumulants.