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A Multivariate Spatial Regression Model Using Signatures by Frévent, Camille; Dabo, Issa-Mbenard is a scholarly article available to read on EtoBox.

What is A Multivariate Spatial Regression Model Using Signatures about?

We propose a spatial autoregressive model for a multivariate response variable and functional covariates. The approach is based on the notion of signature, which represents a function as an infinite series of its iterated integrals and presents the advantage of being applicable to a wide range of processes. We have provided theoretical guarantees for the choice of the signature truncation order, and we have shown in a simulation study that this approach outperforms existing approaches in the literature.

Author

Frévent, Camille; Dabo, Issa-Mbenard

Published

2024

Language

EN