The Dantzig selector for a linear model of diffusion processes

DOI10.1007/S11203-018-9191-YzbMATH Open1431.62231arXiv1709.00710OpenAlexW2962748400MaRDI QIDQ2330962FDOQ2330962

Authors: Kou Fujimori 

Publication date: 23 October 2019

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

Abstract: In this paper, a linear model of diffusion processes with unknown drift and diagonal diffusion matrices is discussed. We will consider the estimation problems for unknown parameters based on the discrete time observation in high-dimensional and sparse settings. To estimate drift matrices, the Dantzig selector which was proposed by Cand'es and Tao in 2007 will be applied. Then, we will prove two types of consistency of the estimator of drift matrix; one is the consistency in the sense of $l_q$ norm for every $qin[1,infty]$ and the other is the variable selection consistency. Moreover, we will construct an asymptotically normal estimator of the drift matrix by using the variable selection consistency of the Dantzig selector.

Full work available at URL: https://arxiv.org/abs/1709.00710

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zbMATH Keywords

variable selectionsparse estimationdiffusion processhigh-dimensionDantzig selector

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Diffusion processes (60J60)

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Cited In (6)

• The Dantzig selector for diffusion processes with covariates
• The variable selection by the Dantzig selector for Cox's proportional hazards model
• On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
• Adaptive efficient estimation for generalized semi-Markov big data models
• Improved estimation method for high dimension semimartingale regression models based on discrete data
• Adaptive efficient analysis for big data ergodic diffusion models

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