IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Adaptive Lasso-Type Estimation For Multivariate Diffusion Processes

  • De Gregorio, Alessandro
  • Iacus, Stefano M.

The least absolute shrinkage and selection operator (LASSO) is a widely used statistical methodology for simultaneous estimation and variable selection. It is a shrinkage estimation method that allows one to select parsimonious models. In other words, this method estimates the redundant parameters as zero in the large samples and reduces variance of estimates. In recent years, many authors analyzed this technique from a theoretical and applied point of view. We introduce and study the adaptive LASSO problem for discretely observed multivariate diffusion processes. We prove oracle properties and also derive the asymptotic distribution of the LASSO estimator. This is a nontrivial extension of previous results by Wang and Leng (2007, Journal of the American Statistical Association , 102(479), 1039–1048) on LASSO estimation because of different rates of convergence of the estimators in the drift and diffusion coefficients. We perform simulations and real data analysis to provide some evidence on the applicability of this method.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://journals.cambridge.org/abstract_S0266466611000806
File Function: link to article abstract page
Download Restriction: no

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 28 (2012)
Issue (Month): 04 (August)
Pages: 838-860

as
in new window

Handle: RePEc:cup:etheor:v:28:y:2012:i:04:p:838-860_00
Contact details of provider: Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK
Web page: http://journals.cambridge.org/jid_ECTEmail:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:28:y:2012:i:04:p:838-860_00. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.