Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process (Q1755107)
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scientific article; zbMATH DE number 6997741
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| English | Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process |
scientific article; zbMATH DE number 6997741 |
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Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process (English)
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4 January 2019
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high-dimensional statistics
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Lasso
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Ornstein-Uhlenbeck process
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sparse estimation
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0.8260851502418518
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0.7575029134750366
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0.749093770980835
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0.7456575632095337
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0.7447646260261536
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