Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process

DOI10.1016/j.jmva.2018.08.005zbMath1404.60049arXiv1707.03010OpenAlexW2963176185WikidataQ98839670 ScholiaQ98839670MaRDI QIDQ1755107

Gustaw Matulewicz, Stéphane Gaïffas

Publication date: 4 January 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.03010

zbMATH Keywords

Ornstein-Uhlenbeck processhigh-dimensional statisticsLassosparse estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Gaussian processes (60G15) Inference from stochastic processes (62M99)

Related Items (12)

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