The Dantzig selector for a linear model of diffusion processes

DOI10.1007/S11203-018-9191-YzbMath1431.62231arXiv1709.00710OpenAlexW2962748400MaRDI QIDQ2330962

Kou Fujimori

Publication date: 23 October 2019

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.00710

zbMATH Keywords

diffusion processvariable selectionDantzig selectorhigh-dimensionsparse estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Diffusion processes (60J60)

Related Items (5)

The variable selection by the Dantzig selector for Cox's proportional hazards model ⋮ Adaptive efficient analysis for big data ergodic diffusion models ⋮ Adaptive efficient estimation for generalized semi-Markov big data models ⋮ Improved estimation method for high dimension semimartingale regression models based on discrete data ⋮ On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model

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