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On Lasso-type estimation for dynamical systems with small noise

Author

Listed:
  • Stefano Iacus

    (Department of Economics, Business and Statistics, University of Milan, IT)

Abstract

We 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.

Suggested Citation

  • Stefano Iacus, 2010. "On Lasso-type estimation for dynamical systems with small noise," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1101, Universitá degli Studi di Milano.
    • Handle: RePEc:bep:unimip:unimi-1101
    Note: oai:cdlib1:unimi-1101
    as

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