Functional linear regression with truncated signatures

DOI10.1016/J.JMVA.2022.105031MaRDI QIDQ2079598zbMATH OpenOpenAlexWikidataFDO

Authors Adeline Fermanian

Publication date 30 September 2022

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.08442

zbMATH Keywords

functional data analysislinear regressionsignatures

Mathematics Subject Classification ID

Functional data analysis (62R10) Signatures and data streams (60L10)

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Cites work

• scientific article; zbMATH DE number 469124 (Why is no real title available?)
• scientific article; zbMATH DE number 2015204 (Why is no real title available?)
• A Statistical View of Some Chemometrics Regression Tools
• Algorithm 1004: the iisignature library: efficient calculation of iterated-integral signatures and log signatures
• Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
• Embedding and learning with signatures
• Functional data analysis.
• Functional linear model
• Integration of Paths--A Faithful Representation of Paths by Noncommutative Formal Power Series
• Iterated integrals and population time series analysis
• Kernels for sequentially ordered data
• Methodology and convergence rates for functional linear regression
• Minimal penalties and the slope heuristics: a survey
• Minimal penalties for Gaussian model selection
• Multidimensional stochastic processes as rough paths. Theory and applications.
• Non-asymptotic adaptive prediction in functional linear models
• Nonparametric functional data analysis. Theory and practice.
• On rates of convergence in functional linear regression
• Rough paths, signatures and the modelling of functions on streams
• Stratonovich's signatures of Brownian motion determine Brownian sample paths
• Uniqueness for the signature of a path of bounded variation and the reduced path group

Cited in

(6)

• Learning with signatures
• Embedding and learning with signatures
• Truncated estimation in functional generalized linear regression models
• Signature estimation and signal recovery using median of means
• Sig‐Wasserstein GANs for conditional time series generation
• Truncated linear models for functional data

Describes a project that uses

Uses Software

• fda (R)
• iisignature
• scikit-fda

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