Penalized least squares approximation methods and their applications to stochastic processes

DOI10.1007/s42081-019-00064-wzbMath1465.62052arXiv1811.09016OpenAlexW2996855200WikidataQ126419243 ScholiaQ126419243MaRDI QIDQ830256

Takumi Suzuki, Nakahiro Yoshida

Publication date: 7 May 2021

Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.09016

zbMATH Keywords

variable selectionCox processleast squares approximationdiffusion-type process

Mathematics Subject Classification ID

Point estimation (62F10) Diffusion processes (60J60) Statistical ranking and selection procedures (62F07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (5)

Quasi-likelihood analysis and its applications ⋮ Sparse estimation for generalized exponential marked Hawkes process ⋮ Regularized bridge-type estimation with multiple penalties ⋮ Adaptive estimation for degenerate diffusion processes ⋮ Analyzing order flows in limit order books with ratios of Cox-type intensities

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