On Lasso-type estimation for dynamical systems with small noise
AbstractWe consider a dynamical system with small noise where the drift is parametrized by a finite dimensional parameter. For this model we consider minimum distance estimation from continuous time observations under some penalty imposed on the parameters in the spirit of the Lasso approach. This approach allows for simultaneous estimation and model selection for this model.
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Bibliographic InfoPaper provided by Universitá degli Studi di Milano in its series UNIMI - Research Papers in Economics, Business, and Statistics with number unimi-1101.
Date of creation: 05 Feb 2010
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dynamical systems; lasso estimation; model selection; inference for stochastic processes; diffusion processes;
Other versions of this item:
- Stefano Maria IACUS, 2010. "On Lasso-type estimation for dynamical systems with small noise," Departmental Working Papers 2010-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
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