Finite-Sample Bounds for Expected Signature Estimation under Weak Dependence

Abstract

The expected signature uniquely determines the law of a random rough path under a moment-growth condition, yet finite-sample bounds for estimating its truncations from a single long dependent trajectory remain unavailable. We study a strictly stationary stochastic process equipped with a geometric rough-path lift, observed in non-overlapping blocks of equally-spaced samples, and prove a non-asymptotic mean-squared error (MSE) bound for the block-averaging estimator of its truncated expected signature. Under moment and stationarity assumptions together with a direct covariance-decay condition on block signatures -- strictly weaker than $α$-mixing and applicable to long-range-dependent processes -- the error separates into a discretization term and a fluctuation term, with rates determined respectively by path regularity and dependence strength. A levelwise rough-factorial variance analysis keeps finite-truncation constants explicit and yields an optimal allocation rule under a fixed observation budget. We verify the assumptions for independent-coordinate fractional Ornstein--Uhlenbeck processes in three regimes: short-range (Hurst $1/4<H<1/2$), semimartingale ($H=1/2$), and long-range ($H>1/2$); in all three, the block-signature covariance is summable, so the fluctuation term decays at the same rate as in the independent-block case, even under long memory at $H>1/2$. Monte Carlo experiments show empirical slopes steeper than the guaranteed upper-bound rates.