On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model

DOI10.1214/20-EJS1775zbMATH Open1457.62246arXiv2008.00847MaRDI QIDQ2219216FDOQ2219216

Authors: Gabriela Ciołek, Dmytro Marushkevych, Mark Podolskij 

Publication date: 19 January 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: In this paper we present new theoretical results for the Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model under sparsity constraints. Our focus is on oracle inequalities for both estimators and error bounds with respect to several norms. In the context of the Lasso estimator our paper is strongly related to [11], who investigated the same problem under row sparsity. We improve their rates and also prove the restricted eigenvalue property solely under ergodicity assumption on the model. Finally, we demonstrate a numerical analysis to uncover the finite sample performance of the Dantzig and Lasso estimators.

Full work available at URL: https://arxiv.org/abs/2008.00847

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zbMATH Keywords

Lassohigh-dimensional statisticsOrnstein-Uhlenbeck processparametric estimationDantzig estimator

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Gaussian processes (60G15) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited In (5)

• Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process
• The Dantzig selector for a linear model of diffusion processes
• On Lasso and Slope drift estimators for Lévy-driven Ornstein-Uhlenbeck processes
• Mean first exit times of Ornstein–Uhlenbeck processes in high-dimensional spaces
• Semiparametric estimation of McKean-Vlasov SDEs

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