diehlj / iterated-sums-signature-py

An (inefficient) implementation of the iterated-sums signature <https://arxiv.org/abs/1906.05823>.

iterated-sums-signature-py

An (inefficient) implementation of the iterated-sums signature (also called discrete signature) <https://arxiv.org/abs/1906.05823> (a discrete generalization of Chen's iterated-integrals signature):

import iterated_sums_signature as iss
x = [1., 10., -99, -50]
sig = iss.signature( x, upto_level=5 )
print( sig )

Installation

Install with:

pip install git+https://github.com/diehlj/linear-combination-py
pip install git+https://github.com/diehlj/iterated-sums-signature-py

Copyright © 2019 Joscha Diehl

Distributed under the Eclipse Public License.