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On Lasso estimator for the drift function in diffusion models
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On Lasso estimator for the drift function in diffusion models

Gabriela Ciolek
D. Marushkevych
M. Podolskij
ArXiv (abs)PDFHTML

Papers citing "On Lasso estimator for the drift function in diffusion models"

4 / 4 papers shown
Title
Ergodic Network Stochastic Differential Equations
Ergodic Network Stochastic Differential Equations
F. Iafrate
S. Iacus
65
0
0
23 Dec 2024
Adaptive Elastic-Net estimation for sparse diffusion processes
Adaptive Elastic-Net estimation for sparse diffusion processes
A. De Gregorio
Dario Frisardi
F. Iafrate
S. Iacus
107
1
0
21 Dec 2024
Research frontiers in ambit stochastics: In memory of Ole E. Barndorff-Nielsen
Research frontiers in ambit stochastics: In memory of Ole E. Barndorff-Nielsen
F. Benth
Almut E. D. Veraart
43
0
0
01 Oct 2024
Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes
Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes
Chiara Amorino
Francisco Pina
M. Podolskij
90
1
0
16 Aug 2024

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