iisignature

Iterated integral signature calculations

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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. Unless you are using Python 3.5 on Windows, which has precompiled wheels, you will need to be able to 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>

Project details

These details have not been verified by PyPI

Project links

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Release history Release notifications | RSS feed

0.24

Dec 1, 2019

0.23

Aug 21, 2018

0.22

Oct 2, 2017

0.21

Sep 20, 2017

0.20

Aug 9, 2017

0.19

Jun 27, 2017

0.18

Mar 28, 2017

This version

0.17

Jan 22, 2017

0.16

Aug 23, 2016

0.15

Jun 20, 2016

0.14

Jun 14, 2016

0.13

Jun 7, 2016

0.12

Jun 2, 2016

0.11

Jun 2, 2016

0.1

Jun 2, 2016

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