Consistent support recovery for high-dimensional diffusions

DOI10.1016/J.SPA.2026.105062MaRDI QIDQ7324705zbMATH OpenFDO

Authors Dmytro Marushkevych, Francisco Piña, Mark Podolskij

Publication date 4 September 2026

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPA.2026.105062

Mathematics Subject Classification ID

Gaussian processes (60G15) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20)

Cites work

• A modern maximum-likelihood theory for high-dimensional logistic regression
• A multivariate central limit theorem for continuous local martingales
• Adaptive Lasso for sparse high-dimensional regression models
• Adaptive LASSO-type estimation for multivariate diffusion processes
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• Brownian motors: noisy transport far from equilibrium
• Comments on: ``Wavelets in statistics: a review by A. Antoniadis
• Concentration inequalities for stochastic differential equations with additive fractional noise
• Concentration of scalar ergodic diffusions and some statistical implications
• Density formula and concentration inequalities with Malliavin calculus
• Graphical modeling of stochastic processes driven by correlated noise
• scientific article; zbMATH DE number 5775003 (Why is no real title available?)
• scientific article; zbMATH DE number 1478492 (Why is no real title available?)
• scientific article; zbMATH DE number 857089 (Why is no real title available?)
• Markov equivalence of marginalized local independence graphs
• Matrix Analysis
• Maximum likelihood estimation of potential energy in interacting particle systems from single-trajectory data
• Nonconcave penalized likelihood with a diverging number of parameters.
• On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
• On Lasso and Slope drift estimators for Lévy-driven Ornstein-Uhlenbeck processes
• On Lasso estimator for the drift function in diffusion models
• Online parameter estimation for the McKean-Vlasov stochastic differential equation
• Parameter estimation of discretely observed interacting particle systems
• Parameter estimation of path-dependent McKean-Vlasov stochastic differential equations
• Parametric inference for ergodic McKean-Vlasov stochastic differential equations
• Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models
• Polynomial rates via deconvolution for nonparametric estimation in McKean-Vlasov SDEs
• Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes
• Some Stochastic Models for Small Epidemics in Large Populations
• Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process
• Statistics for high-dimensional data. Methods, theory and applications.
• The Adaptive Lasso and Its Oracle Properties
• The LAN property for McKean-Vlasov models in a mean-field regime
• Transportation cost-information inequalities and applications to random dynamical systems and diffusions.
• Transportation inequalities for stochastic differential equations driven by a fractional Brownian motion
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

This page was built for publication: Consistent support recovery for high-dimensional diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7324705)