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.
On consistency of signatures using lasso
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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.