Sparse Estimation for High-Dimensional Lévy-driven Ornstein--Uhlenbeck Processes from Discrete Observations

MaRDI QIDQ7221113arXivFDO

Authors Niklas Dexheimer, Natalia Jeszka

Publication date 2026

Published in arXiv

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Estimation in multivariate analysis (62H12) Markov processes: estimation; hidden Markov models (62M05)

arXiv classification

math.ST

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