iisignature 0.12

Iterated integral signature calculations

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/fac/cross_fac/complexity/people/students/dtc/students2013/reizenstein/> for more information about the calculations.

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, or if you can’t compile C++ extensions. Log signature calculation will probably crash if not running on an x86-64 Linux box.

Authors

• Dr Benjamin Graham

• Jeremy Reizenstein