A functional spatial autoregressive model using signatures
Methodology
2024-03-13 v2
Abstract
We propose a new approach to the autoregressive spatial functional model, based on the notion of signature, which represents a function as an infinite series of its iterated integrals. It presents the advantage of being applicable to a wide range of processes. After having provided theoretical guarantees to the proposed model, we have shown in a simulation study and on a real data set that this new approach presents competitive performances compared to the traditional model.
Cite
@article{arxiv.2303.12378,
title = {A functional spatial autoregressive model using signatures},
author = {Camille Frévent},
journal= {arXiv preprint arXiv:2303.12378},
year = {2024}
}