The iisignature library: efficient calculation of iterated-integral signatures and log signatures

Jeremy Reizenstein, Benjamin Graham
2/22/2018
cs.DScs.MSmath.RA

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

Abstract

Iterated-integral signatures and log signatures are vectors calculated from a path that characterise its shape. They come from the theory of differential equations driven by rough paths, and also have applications in statistics and machine learning. We present algorithms for efficiently calculating these signatures, and benchmark their performance. We release the methods as a Python package.

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Code Implementations(1)

bottler/iisignatureOfficial100%
MIT

Iterated integral signature calculations

12527C++, ShellJun 2, 20164 months agoMIT

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Cite this paper

@article{reizenstein2018iisignature,
  title  = {The iisignature library: efficient calculation of iterated-integral signatures and log signatures},
  author = {Jeremy Reizenstein and Benjamin Graham},
  year   = {2018},
  eprint = {1802.08252},
  archivePrefix = {arXiv},
  url    = {https://arxiv.org/abs/1802.08252}
}

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