310 citations · 1.1k across the 52 of their papers we have counts for
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math.ST2020
On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
Gabriela Ciolek, Dmytro Marushkevych, Mark Podolskij
In this paper we present new theoretical results for the Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model under sparsity constraints. Our fo…
math.ST2020
Multi-dimensional parameter estimation of heavy-tailed moving averages
Mathias Mørck Ljungdahl, Mark Podolskij
In this paper we present a parametric estimation method for certain multi-parameter heavy-tailed Lévy-driven moving averages. The theory relies on recent multivariate central limit…