Penalized least squares approximation methods and their applications to stochastic processes

DOI10.1007/S42081-019-00064-WzbMATH Open1465.62052arXiv1811.09016OpenAlexW2996855200WikidataQ126419243 ScholiaQ126419243MaRDI QIDQ830256FDOQ830256

Takumi Suzuki, Nakahiro Yoshida

Publication date: 7 May 2021

Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Abstract: We construct an objective function that consists of a quadratic approximation term and a penalty term. Thanks to the quadratic approximation, we can deal with various kinds of loss functions into a unified way, and by taking advantage of the penalty term, we can simultaneously execute variable selection and parameter estimation. In this article, we show that our estimator has oracle properties, and even better property. We also treat an stochastic processes as applications.

Full work available at URL: https://arxiv.org/abs/1811.09016

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zbMATH Keywords

variable selectionleast squares approximationCox processdiffusion-type process

Mathematics Subject Classification ID

Point estimation (62F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Statistical ranking and selection procedures (62F07) Diffusion processes (60J60)

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Cited In (7)

• Sparse inference of structural equation modeling with latent variables for diffusion processes
• Regularized bridge-type estimation with multiple penalties
• Quasi-likelihood analysis and its applications
• Adaptive estimation for degenerate diffusion processes
• Simplified quasi-likelihood analysis for a locally asymptotically quadratic random field
• Sparse estimation for generalized exponential marked Hawkes process
• Analyzing order flows in limit order books with ratios of Cox-type intensities

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