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On Dantzig and Lasso estimators of the drift in a high dimensional
  Ornstein-Uhlenbeck model

On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model

3 August 2020
Gabriela Ciolek
D. Marushkevych
M. Podolskij
ArXiv (abs)PDFHTML

Papers citing "On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model"

7 / 7 papers shown
Title
Adaptive Elastic-Net estimation for sparse diffusion processes
Adaptive Elastic-Net estimation for sparse diffusion processes
A. De Gregorio
Dario Frisardi
F. Iafrate
S. Iacus
112
1
0
21 Dec 2024
Research frontiers in ambit stochastics: In memory of Ole E.
  Barndorff-Nielsen
Research frontiers in ambit stochastics: In memory of Ole E. Barndorff-Nielsen
F. Benth
Almut E. D. Veraart
57
0
0
01 Oct 2024
Sampling effects on Lasso estimation of drift functions in
  high-dimensional diffusion processes
Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes
Chiara Amorino
Francisco Pina
M. Podolskij
97
1
0
16 Aug 2024
On Lasso estimator for the drift function in diffusion models
On Lasso estimator for the drift function in diffusion models
Gabriela Ciolek
D. Marushkevych
M. Podolskij
57
5
0
13 Sep 2022
Concentration analysis of multivariate elliptic diffusion processes
Concentration analysis of multivariate elliptic diffusion processes
Cathrine Aeckerle-Willems
Claudia Strauch
Lukas Trottner
98
1
0
07 Jun 2022
On Lasso and Slope drift estimators for Lévy-driven
  Ornstein--Uhlenbeck processes
On Lasso and Slope drift estimators for Lévy-driven Ornstein--Uhlenbeck processes
Niklas Dexheimer
Claudia Strauch
68
7
0
16 May 2022
Semiparametric estimation of McKean-Vlasov SDEs
Semiparametric estimation of McKean-Vlasov SDEs
Denis Belomestny
Vytaut.e Pilipauskait.e
M. Podolskij
41
21
0
01 Jul 2021
1