Adaptive elastic-net estimation for sparse diffusion processes

DOI10.1007/S11203-025-09341-WMaRDI QIDQ6874862zbMATH OpenFDO

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

Publication date 15 January 2026

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11203-025-09341-W

zbMATH Keywords

discrete observationsergodic diffusion processesnon-asymptotic boundsoracle propertiespathwise optimizationprediction errorregularized estimation

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

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