ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES

DOI10.1017/S0266466611000806zbMath1419.62170MaRDI QIDQ2909250

Stefano Maria Iacus, Alessandro De Gregorio

Publication date: 30 August 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical methods; risk measures (91G70) Diffusion processes (60J60)

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