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math.ST2026
Network inference for SDEs with diverging dimension under small noise
Francesco Iafrate, Nakahiro Yoshida, Stefano M. Iacus
We consider inference for network stochastic differential equations in a small-noise, high-dimensional regime, where the diffusion coefficient vanishes with $\ep\to0$ while the net…
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…