ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES
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Publication:2909250
DOI10.1017/S0266466611000806zbMath1419.62170MaRDI QIDQ2909250
Stefano Maria Iacus, Alessandro De Gregorio
Publication date: 30 August 2012
Published in: Econometric Theory (Search for Journal in Brave)
Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical methods; risk measures (91G70) Diffusion processes (60J60)
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