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On Lasso-type estimation for dynamical systems with small noise

Author

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  • Stefano Maria IACUS

Abstract

We consider a dynamical system with small noise where the drift is parametrized by afinite dimensional parameter. For this model we consider minimum distance estimation fromcontinuous 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 Maria IACUS, 2010. "On Lasso-type estimation for dynamical systems with small noise," Departmental Working Papers 2010-012, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    • Handle: RePEc:mil:wpdepa:2010-012
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