On Lasso and Slope drift estimators for Lévy-driven Ornstein-Uhlenbeck processes

DOI10.3150/22-BEJ1574MaRDI QIDQ6178552zbMATH OpenOpenAlexFDO

Authors Niklas Dexheimer, Claudia Strauch

Publication date 16 January 2024

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2205.07813

zbMATH Keywords

high-dimensional statisticsLassoOrnstein-Uhlenbeck processparametric statisticsslopesparse estimation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We investigate the problem of estimating the drift parameter of a high-dimensional L'evy-driven Ornstein--Uhlenbeck process under sparsity constraints. It is shown that both Lasso and Slope estimators achieve the minimax optimal rate of convergence (up to numerical constants), for tuning parameters chosen independently of the confidence level, which improves the previously obtained results for standard Ornstein--Uhlenbeck processes. The results are nonasymptotic and hold both in probability and conditional expectation with respect to an event resembling the restricted eigenvalue condition.

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Cited in

(3)

• Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes
• Adaptive elastic-net estimation for sparse diffusion processes
• On Lasso estimator for the drift function in diffusion models

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