I will use tools from applied algebraic topology for feature selection on time series data. I will present a method for scoring the variables in a multivariate time series that reflects their contributions to the topological features of the corresponding point cloud. Our approach produces a piecewise-linear Lipschitz gradient path in the standard geometric simplex that starts at the barycenter, which weights the variables equally, and ends at the score. Adding Gaussian perturbations to the input data and taking expectations results in a mean gradient path that satisfies a strong law of large numbers and central limit theorem. Our theory is motivated by the analysis of the neuronal activities of the nematode C. elegans, and our method selects an informative subset of the neurons that optimizes the coordinated dynamics.

This is joint work with Johnathan Bush (James Madison University).