Adaptive Elastic-net estimation for ergodic diffusion processes

DOI10.1007/978-3-031-64447-4_8MaRDI QIDQ6857210zbMATH OpenFDO

Authors Dario Frisardi, Alessandro De Gregorio, F. Iafrate, Stefano M. Iacus

Publication date 18 February 2026

Full work available at URL https://doi.org/10.1007/978-3-031-64447-4_8

zbMATH Keywords

optimization algorithmoracleregularized estimator

Mathematics Subject Classification ID

Diffusion processes (60J60) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites work

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• Regularized bridge-type estimation with multiple penalties
• The Adaptive Lasso and Its Oracle Properties
• Unified LASSO Estimation by Least Squares Approximation
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

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