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Support Recovery for the Drift Coefficient of High-Dimensional Diffusions - MaRDI portal

Support Recovery for the Drift Coefficient of High-Dimensional Diffusions

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Publication:2986274

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DOI10.1109/TIT.2014.2317178zbMath1360.62281MaRDI QIDQ2986274

Morteza Ibrahimi, José Bento Ayres Periera

Publication date: 16 May 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Diffusion processes (60J60)

Related Items (2)

On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model ⋮ The Dantzig selector for a linear model of diffusion processes

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