4 papers
Nonparametric Estimation of the Diffusion-Interaction Function in Particle Systems
Chiara Amorino, Francisco Pina, Mark Podolskij
We study the problem of nonparametric estimation of the interaction function in particle systems whose interaction enters through the diffusion coefficient. The particle system is…
Weighted Nuclear Elastic Net Estimation of (Near-) Low-Rank Drift Matrices in Ornstein-Uhlenbeck Processes
Dmytro Marushkevych, Francisco Pina, Mark Podolskij
We study estimation of the drift matrix in a continuously observed high-dimensional Ornstein-Uhlenbeck process when the drift is exactly or approximately low rank. In this setting,…
Consistent support recovery for high-dimensional diffusions
Dmytro Marushkevych, Francisco Pina, Mark Podolskij
Statistical inference for stochastic processes has advanced significantly due to applications in diverse fields, but challenges remain in high-dimensional settings where parameters…
Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes
Chiara Amorino, Francisco Pina, Mark Podolskij
In this paper, we address high-dimensional parametric estimation of the drift function in diffusion models, specifically focusing on a -dimensional ergodic diffusion process obs…