The Dantzig Selector for Diffusion Processes with Covariates

DOI10.14490/jjss.47.59zbMath1390.62167arXiv1611.10011OpenAlexW2963654234MaRDI QIDQ4641639

Yoichi Nishiyama, Kou Fujimori

Publication date: 18 May 2018

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.10011

zbMATH Keywords

diffusion processparametric modellinear regressionDantzig selectorhigh-dimensional and sparse setting

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Estimation in survival analysis and censored data (62N02)

Related Items

The Dantzig selector for a linear model of diffusion processes

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