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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.ST2020
Regularized Bridge-type estimation with multiple penalties
Alessandro De Gregorio, Francesco Iafrate
The aim of this paper is to introduce an adaptive penalized estimator for identifying the true reduced parametric model under the sparsity assumption. In particular, we deal with t…