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

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 $30\times$ faster and using up to $37\times$ less GPU memory than Mamba on the longest sequences.

Accepted at NeurIPS 2026. 23 pages, 2 figures, 15 tables

Machine Learning (cs.LG); Artificial Intelligence (cs.AI)

arXiv:2610.05051 [cs.LG]

(or arXiv:2610.05051v1 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2610.05051 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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