Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes

DOI10.1214/25-EJS2453MaRDI QIDQ6862814zbMATH OpenFDO

Authors Chiara Amorino, Francisco Piña, Mark Podolskij

Publication date 6 February 2026

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-19/issue-2/Sampling-effects-on-Lasso-estimation-of-drift-functions-in-high/10.1214/25-EJS2453.full

zbMATH Keywords

concentration inequalityhigh dimensional statisticsLasso estimatorhigh frequencydrift parameter estimation

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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