Linear functional regression with truncated signatures

06/15/2020

∙

by   Adeline Fermanian, et al.

∙

0

∙

share

We place ourselves in a functional regression setting and propose a novel methodology for regressing a real output on vector-valued functional covariates. This methodology is based on the notion of signature, which is a representation of a function as an infinite series of its iterated integrals. The signature depends crucially on a truncation parameter for which an estimator is provided, together with theoretical guarantees. The complete procedure is tested on real-world datasets.