3 papers
math.ST2022
On Lasso estimator for the drift function in diffusion models
Gabriela Ciolek, Dmytro Marushkevych, Mark Podolskij
In this paper we study the properties of the Lasso estimator of the drift component in the diffusion setting. More specifically, we consider a multivariate parametric diffusion mod…
math.ST2020
On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
Gabriela Ciolek, Dmytro Marushkevych, Mark Podolskij
In this paper we present new theoretical results for the Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model under sparsity constraints. Our fo…
math.ST2016
Bootstrap uniform central limit theorems for Harris recurrent Markov chains
Gabriela Ciołek
The main objective of this paper is to establish bootstrap uniform functional central limit theorem for Harris recurrent Markov chains over uniformly bounded classes of functions.…