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math.ST2022
On Lasso estimator for the drift function in diffusion models
Gabriela Ciolek, Dmytro Marushkevych, Mark Podolskij
In this paper we study the properties of the Lasso estimator of the drift component in the diffusion setting. More specifically, we consider a multivariate parametric diffusion mod…
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…