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Iterated integral signature calculations

Project Description

This package provides tools for calculating the signature and log signature of a data stream. These are summary statistics of piecewise linear paths, consisting of iterated integrals, inspired by rough path theory. See <http://www2.warwick.ac.uk/jreizenstein> for documentation and more information about the calculations, and <https://github.com/bottler/iisignature> for source code.

It is work in progress.

Python

Install with:

pip install iisignature

For the moment, don’t install this package if you don’t have numpy > 1.7 installed. On Windows, this package is not usable with Python 2.x. For Python 3.5 and 3.6 on Windows, there are precompiled wheels available, you may need to do pip install wheel to use them. On other platforms, you will need to be able to compile C++ extensions. The fastest, on-the-fly compiled versions of the log signature calculations are for Windows (32 and 64 bit) and 64 bit linux.

Authors

  • Dr Benjamin Graham
  • Jeremy Reizenstein

Thanks

This package includes BCH coefficients from Fernando Casas and Ander Murua. <http://arxiv.org/abs/0810.2656>

Release History

Release History

This version
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0.18

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0.17

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0.16

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0.15

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0.14

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0.13

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0.12

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0.11

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0.1

Download Files

Download Files

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File Name & Checksum SHA256 Checksum Help Version File Type Upload Date
iisignature-0.18-cp35-cp35m-win_amd64.whl (1.3 MB) Copy SHA256 Checksum SHA256 cp35 Wheel Mar 28, 2017
iisignature-0.18.tar.gz (1.2 MB) Copy SHA256 Checksum SHA256 Source Mar 28, 2017

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