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math.ST2022
Asymptotic accuracy in estimation of a fractional signal in a small white noise
M. Kleptsyna, D. Marushkevych, P. Chigansky
This paper revisits the problem of estimating the fractional Ornstein - Uhlenbeck process observed in a linear channel with white noise of small intensity. We drive the exact asymp…
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…