CGMM LASSO-type estimator for the process of Ornstein-Uhlenbeck type

DOI10.1016/j.jkss.2015.08.002zbMath1330.62214OpenAlexW2207307881MaRDI QIDQ2633976

Yanlin Tang, Yin-Feng Wang, Xin Sheng Zhang

Publication date: 5 February 2016

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2015.08.002

zbMATH Keywords

process of Ornstein-Uhlenbeck typeGMM with continuum of moment method (CGMM) estimatorLASSO-type estimator

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

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