On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model

DOI10.1214/20-EJS1775zbMath1457.62246arXiv2008.00847MaRDI QIDQ2219216

Dmytro Marushkevych, Gabriela Ciołek, Mark Podolskij

Publication date: 19 January 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.00847

zbMATH Keywords

Ornstein-Uhlenbeck processhigh-dimensional statisticsLassoparametric estimationDantzig estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Gaussian processes (60G15) Markov processes: estimation; hidden Markov models (62M05)

Related Items (3)

Mean first exit times of Ornstein–Uhlenbeck processes in high-dimensional spaces ⋮ Semiparametric estimation of McKean-Vlasov SDEs ⋮ On Lasso and Slope drift estimators for Lévy-driven Ornstein-Uhlenbeck processes

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