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.
Integration of paths, geometric invariants and a generalized Baker– Hausdorff formula.Annals of Mathematics, 65(1):163–178, 1957
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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.