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On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
Ciolek, Gabriela; Marushkevych, Dmytro; Podolskij, Mark
2020 • In Electronic Journal of Statistics, 14 (2), p. 4395-4420
Peer Reviewed verified by ORBi
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https://hdl.handle.net/10993/45475
DOI
10.1214/20-EJS1775
 

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Disciplines :
Mathematics
Author, co-author :
Ciolek, Gabriela ;  University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH)
Marushkevych, Dmytro ;  University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH)
Podolskij, Mark  ;  University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH)
External co-authors :
no
Language :
English
Title :
On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
Publication date :
2020
Journal title :
Electronic Journal of Statistics
ISSN :
1935-7524
Publisher :
Institute of Mathematical Statistics, Beachwood, United States - Ohio
Volume :
14
Issue :
2
Pages :
4395-4420
Peer reviewed :
Peer Reviewed verified by ORBi
European Projects :
FP7 - 200512 - INSPIRE - Interhemispheric stimulation promotes reading: two brains are better then one
Funders :
CE - Commission Européenne [BE]
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since 13 January 2021

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