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On Lasso and Slope drift estimators for Lévy-driven
Ornstein--Uhlenbeck processes

On Lasso and Slope drift estimators for Lévy-driven Ornstein--Uhlenbeck processes

Bernoulli (Bernoulli), 2022

16 May 2022

Niklas Dexheimer

Claudia Strauch

ArXiv (abs)PDF HTML

Papers citing "On Lasso and Slope drift estimators for Lévy-driven Ornstein--Uhlenbeck processes"

6 / 6 papers shown

Adaptive Elastic-Net estimation for sparse diffusion processes

Adaptive Elastic-Net estimation for sparse diffusion processes

325

3

0

21 Dec 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 processesElectronic Journal of Statistics (EJS), 2024

318

3

0

16 Aug 2024

Adaptive nonparametric drift estimation for multivariate jump diffusions
under sup-norm risk

Adaptive nonparametric drift estimation for multivariate jump diffusions under sup-norm riskStochastic Processes and their Applications (SPA), 2023

299

0

0

29 Sep 2023

On Lasso estimator for the drift function in diffusion models

On Lasso estimator for the drift function in diffusion models

Gabriela Ciolek

D. Marushkevych

292

8

0

13 Sep 2022

Concentration analysis of multivariate elliptic diffusion processes

Concentration analysis of multivariate elliptic diffusion processes

Cathrine Aeckerle-Willems

Claudia Strauch

409

1

0

07 Jun 2022

Efficient maximum likelihood estimation for Lévy-driven
Ornstein-Uhlenbeck processes

Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes

229

45

0

12 Mar 2014

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