Skip to main content

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 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 calculations (except the slow version) are designed for x86-64 and have only been tested on Linux. They will probably crash on other platforms.

Authors

  • Dr Benjamin Graham

  • Jeremy Reizenstein

Thanks

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

Project details


Download files

Download the file for your platform. If you're not sure which to choose, learn more about installing packages.

Source Distribution

iisignature-0.13.tar.gz (1.2 MB view hashes)

Uploaded Source

Supported by

AWS AWS Cloud computing and Security Sponsor Datadog Datadog Monitoring Fastly Fastly CDN Google Google Download Analytics Microsoft Microsoft PSF Sponsor Pingdom Pingdom Monitoring Sentry Sentry Error logging StatusPage StatusPage Status page