SignatureMoments

Signature Moments Transformer for multivariate time series.

Quickstart

from sktime.transformations.signature import SignatureMoments

estimator = SignatureMoments(degree=2, use_index=True, normalize_prod=False)

Parameters(3)

degree: int, default=2

The maximum length of the string-based signature elements to include. Degree can be upto 3.

use_index: bool, default=True

Whether to include the time index as an additional dimension.

normalize_prod: bool, default=False

If True, uses geometric mean instead of product for the signature moment, see above for formula. If False, uses product.

Examples

>>> from sktime.transformations.signature import SignatureMoments
>>> from sktime.datasets import load_airline
>>> y = load_airline ()
>>> transformer = SignatureMoments (degree = 2, use_index = True)
>>> Xt = transformer. fit_transform (y)