Sam Morley
I am a research software engineer working on the DataSig project. This project is all about bringing rough path theory and signature methods to data science applications. I maintain the Python package esig for computing signatures and the C++ library libalgebra that backs esig, along with various other similar libraries. Prior to this role I worked as a lecturer in mathematics, and I am the author of the book "Applying Math with Python".
Sessions
Signatures are a mathematical tool that arise in the study of paths. Roughly speaking, they capture the fine structure of a path. It turns out that signatures are extremely useful for analysing time series data in a data science context. This is party because they can take irregularly sampled, highly oscillatory data and produce a single array of values of fixed size which can then be used as features in predictors etc. In this talk I will give a brief introduction to signatures and give a brief demonstration of how you can use them to analyse time series data. No mathematical background will be assumed.