Support Recovery for the Drift Coefficient of High-Dimensional Diffusions

DOI10.1109/TIT.2014.2317178MaRDI QIDQ2986274zbMATH OpenFDO

Authors José Bento Ayres Periera, Morteza Ibrahimi

Publication date 16 May 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TIT.2014.2317178

Mathematics Subject Classification ID

Diffusion processes (60J60) Estimation in multivariate analysis (62H12)

Cited in

(6)

• On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
• The Dantzig selector for a linear model of diffusion processes
• Support Recovery for the Drift Coefficient of High-Dimensional Diffusions
• Two-step estimations via the Dantzig selector for models of stochastic processes with high-dimensional parameters
• On Lasso estimator for the drift function in diffusion models
• Sparse estimations for models of high-dimensional stochastic processes and time series

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