cs.LGOct 4, 2026

LogSig-SSM: Time-Series Modelling with Multi-Scale Log-Signature Compression for State-Space Models

Authors: Felix Oury, Nicolas Calvo Peiro, Reiko J. Tanaka

Organizations: Department of Computing Imperial College London · Department of Bioengineering Imperial College London

Abstract

Time-series data are often sampled irregularly at high frequencies and exhibit long-range dependencies, which makes long-horizon modelling difficult. Continuous-time models such as neural controlled differential equations (NCDEs) and neural rough differential equations (NRDEs) can handle irregular sampling, but they scale poorly to long sequences. Selective state-space models (SSMs) such as Mamba scale linearly with sequence length, but they provide limited recurrent mixing across hidden dimensions within a single block. We propose LogSig-SSM (Log-Signature Compression for State-Space Models), which first compresses long multivariate time series into a shorter sequence of tokens using multi-scale windowed log-signatures, and then processes these tokens with a selective SSM backbone. LogSig-SSM is scalable and robust to irregular sampling, combining log-signature tokens that capture higher-order cross-channel interactions with a selective SSM that models long-range dependencies. The model also admits a continuous-time interpretation as an NCDE/NRDE-style system driven by a log-signature-based input, in which selectivity induces an input-dependent rescaling of the latent dynamics. Across four benchmarks, namely long-sequence classification on UEA, high-frequency physiological regression on PPG-DaLiA, multivariate weather forecasting, and irregularly sampled clinical prediction on PhysioNet Sepsis, LogSig-SSM outperforms or matches strong SSM and continuous-time baselines while training up to 30×30\times faster and using up to 37×37\times less GPU memory than Mamba on the longest sequences.

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