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. The on-the-fly compiled versions of the log signature calculations are for Windows (32 and 64 bit) and 64 bit linux.
Thanks
This package includes BCH coefficients from Fernando Casas and Ander Murua. <http://arxiv.org/abs/0810.2656>
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