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- W3046670493 abstract "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 focus is on oracle inequalities for both estimators and error bounds with respect to several norms. In the context of the Lasso estimator our paper is strongly related to [11], who investigated the same problem under row sparsity. We improve their rates and also prove the restricted eigenvalue property solely under ergodicity assumption on the model. Finally, we demonstrate a numerical analysis to uncover the finite sample performance of the Dantzig and Lasso estimators." @default.
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- W3046670493 date "2020-08-03" @default.
- W3046670493 modified "2023-09-27" @default.
- W3046670493 title "On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model" @default.
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