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On Lasso-type estimation for dynamical systems with small noise

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  • 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.

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Bibliographic Info

Paper provided by Universit√° degli Studi di Milano in its series UNIMI - Research Papers in Economics, Business, and Statistics with number unimi-1101.

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Date of creation: 05 Feb 2010
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Handle: RePEc:bep:unimip:unimi-1101

Note: oai:cdlib1:unimi-1101
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Keywords: dynamical systems; lasso estimation; model selection; inference for stochastic processes; diffusion processes;

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