Algorithm 1004
Published in ACM Transactions on Mathematical Software • Mar 20, 2020
Authors:,
Jeremy Reizenstein
Benjamin Graham
Abstract
Iterated-integral signatures and log signatures are sequences calculated from a path that characterizes its shape. They originate from the work of K. T. Chen and have become important through Terry Lyons’s theory of differential equations driven by rough paths, which is an important developing area ...
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