Nowcasting with signature methods

2 code implementations • 17 May 2023 • Samuel N. Cohen, Silvia Lui, Will Malpass, Giulia Mantoan, Lars Nesheim, Áureo de Paula, Andrew Reeves, Craig Scott, Emma Small, Lingyi Yang

We look at the nowcasting problem by applying regression on signatures, a simple linear model on these nonlinear objects that we show subsumes the popular Kalman filter.

regression