On Lasso-type estimation for dynamical systems with small noise
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- 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.
References listed on IDEAS
- Kato, Kengo, 2009. "Asymptotics for argmin processes: Convexity arguments," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1816-1829, September.
- Kutoyants, Y. & Pilibossian, P., 1994. "On minimum L1-norm estimate of the parameter of the Ornstein--Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 20(2), pages 117-123, May.
- Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
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Keywordsdynamical systems; lasso estimation; model selection; inference for stochastic processes; diffusion processes;
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