A multivariate spatial regression model using signatures

Abstract

We propose a spatial autoregressive model for a multivariate response variable and functional covariates. The approach is based on the notion of signature, which represents a function as an infinite series of its iterated integrals and presents the advantage of being applicable to a wide range of processes. We have provided theoretical guarantees for the choice of the signature truncation order, and we have shown in a simulation study and an application to pollution data that this approach outperforms existing approaches in the literature.