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

3 August 2020

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 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 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 Chiara Amorino Francisco Pina M. Podolskij 97 1 0 16 Aug 2024
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 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 Niklas Dexheimer Claudia Strauch 68 7 0 16 May 2022
Semiparametric estimation of McKean-Vlasov SDEs Denis Belomestny Vytaut.e Pilipauskait.e M. Podolskij 41 21 0 01 Jul 2021