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

DOI10.3150/22-BEJ1574arXiv2205.07813OpenAlexW4388514273MaRDI QIDQ6178552FDOQ6178552

Authors: Niklas Dexheimer, Claudia Strauch 

Publication date: 16 January 2024

Published in: Bernoulli (Search for Journal in Brave)

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.

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

zbMATH Keywords

Lassosparse estimationhigh-dimensional statisticsOrnstein-Uhlenbeck processslopeparametric statistics

Mathematics Subject Classification ID

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

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