Calculation of Iterated-Integral Signatures and Log Signatures

Jeremy Reizenstein
12/7/2017
math.RA

Official code: bottler/iisignature (125 stars, MIT, last commit 2026-06-03).

Abstract

We explain the algebra needed to make sense of the log signature of a path, with plenty of examples. We show how the log signature can be calculated numerically, and explain some software tools which demonstrate it.

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MIT

Iterated integral signature calculations

12527C++, ShellJun 2, 20164 months agoMIT

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Cite this paper

@article{reizenstein2017calculation,
  title  = {Calculation of Iterated-Integral Signatures and Log Signatures},
  author = {Jeremy Reizenstein},
  year   = {2017},
  eprint = {1712.02757},
  archivePrefix = {arXiv},
  url    = {https://arxiv.org/abs/1712.02757}
}

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