Sparse inference of the drift of a high-dimensional Ornstein–Uhlenbeck process
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DOI: 10.1016/j.jmva.2018.08.005
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Cited by:
- Valentin Courgeau & Almut E. D. Veraart, 2022. "Likelihood theory for the graph Ornstein-Uhlenbeck process," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 227-260, July.
- Alessandro Gregorio & Francesco Iafrate, 2021. "Regularized bridge-type estimation with multiple penalties," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(5), pages 921-951, October.
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Keywords
High-dimensional statistics; Lasso; Ornstein–Uhlenbeck process; Sparse estimation;All these keywords.
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