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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

16 August 2024
Chiara Amorino
Francisco Pina
M. Podolskij
ArXivPDFHTML

Papers citing "Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes"

2 / 2 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
67
0
0
21 Dec 2024
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
C. Strauch
36
6
0
16 May 2022
1