iisignature 0.20

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/iisignature.pdf> for documentation, the page <http://www2.warwick.ac.uk/jreizenstein> for 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

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. On a Mac, you will need to have installed Xcode and the Xcode command line tools before doing the installation. The fastest, on-the-fly compiled versions of the log signature calculations are for Windows, Mac and Linux, on both 32 and 64 bit.

Authors

• Dr Benjamin Graham

• Jeremy Reizenstein

Thanks

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