iisignature 0.15

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/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. The 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>