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math.ST2026
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…
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,…