The Dantzig selector for a linear model of diffusion processes
From MaRDI portal
Publication:2330962
DOI10.1007/s11203-018-9191-yzbMath1431.62231arXiv1709.00710OpenAlexW2962748400MaRDI QIDQ2330962
Publication date: 23 October 2019
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1709.00710
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Diffusion processes (60J60)
Related Items (5)
The variable selection by the Dantzig selector for Cox's proportional hazards model ⋮ Adaptive efficient analysis for big data ergodic diffusion models ⋮ Adaptive efficient estimation for generalized semi-Markov big data models ⋮ Improved estimation method for high dimension semimartingale regression models based on discrete data ⋮ On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
Cites Work
- Unnamed Item
- Unnamed Item
- Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
- Asymtotics of Dantzig selector for a general single-index model
- Adaptive estimation of an ergodic diffusion process based on sampled data
- High-dimensional Ising model selection using \(\ell _{1}\)-regularized logistic regression
- Estimation for diffusion processes from discrete observation
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
- Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
- Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process
- LAN property for ergodic diffusions with discrete observations
- Weak convergence and empirical processes. With applications to statistics
- On the conditions used to prove oracle results for the Lasso
- Vast volatility matrix estimation for high-frequency financial data
- Simultaneous analysis of Lasso and Dantzig selector
- Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES
- Shrinkage Tuning Parameter Selection with a Diverging number of Parameters
- Support Recovery for the Drift Coefficient of High-Dimensional Diffusions
- The Dantzig Selector in Cox's Proportional Hazards Model
- Scaled sparse linear regression
- Estimation of an Ergodic Diffusion from Discrete Observations
- The Dantzig Selector for Diffusion Processes with Covariates
This page was built for publication: The Dantzig selector for a linear model of diffusion processes
