2 papers
math.ST2026
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,…
math.ST2025
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…