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math.PR2022
Concentration analysis of multivariate elliptic diffusion processes
Cathrine Aeckerle-Willems, Claudia Strauch, Lukas Trottner
We prove concentration inequalities and associated PAC bounds for continuous- and discrete-time additive functionals for possibly unbounded functions of multivariate, nonreversible…
math.ST2022
On Lasso and Slope drift estimators for Lévy-driven Ornstein--Uhlenbeck processes
Niklas Dexheimer, Claudia Strauch
We investigate the problem of estimating the drift parameter of a high-dimensional Lévy-driven Ornstein--Uhlenbeck process under sparsity constraints. It is shown that both Lasso a…