The paper derives some moment bounds for signatures of fractional Brownian motion and shows simulations where signature Lasso beats Lasso, but it never proves the claimed consistency.
Operators associated with a stochastic differen- 9 Figure 2:Lasso regression comparing to signature regression for Air Quality data
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Regularized Learning for Fractional Brownian Motion via Path Signatures
The paper derives some moment bounds for signatures of fractional Brownian motion and shows simulations where signature Lasso beats Lasso, but it never proves the claimed consistency.