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

Time-series data are often sampled irregularly at high frequency 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 within a single block they provide limited recurrent mixing across hidden dimensions. 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 overall outperforms existing SSM and continuous-time baselines while significantly reducing training time and GPU memory usage.