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