On Lasso and Slope drift estimators for Lévy-driven Ornstein-Uhlenbeck processes
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Publication:6178552
DOI10.3150/22-BEJ1574arXiv2205.07813OpenAlexW4388514273MaRDI QIDQ6178552
Claudia Strauch, Niklas Dexheimer
Publication date: 16 January 2024
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2205.07813
Ornstein-Uhlenbeck processhigh-dimensional statisticsLassosparse estimationslopeparametric statistics
Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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