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math.ST2024
Adaptive Elastic-Net estimation for sparse diffusion processes
Alessandro De Gregorio, Dario Frisardi, Francesco Iafrate +1
Penalized estimation methods for diffusion processes and dependent data have recently gained significant attention due to their effectiveness in handling high-dimensional stochasti…
math.ST2009
On penalized estimation for dynamical systems with small noise
Alessandro De Gregorio, Stefano Iacus
We consider a dynamical system with small noise for which the drift is parametrized by a finite dimensional parameter. For this model we consider minimum distance estimation from c…