A functional spatial autoregressive model using signatures

03/22/2023

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by   Camille Frévent, et al.

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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 that this new approach presents competitive performances compared to the traditional model.