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- W4280495931 abstract "We investigate the problem of estimating the drift parameter of a high-dimensional L'evy-driven Ornstein--Uhlenbeck process under sparsity constraints. It is shown that both Lasso and Slope estimators achieve the minimax optimal rate of convergence (up to numerical constants), for tuning parameters chosen independently of the confidence level, which improves the previously obtained results for standard Ornstein--Uhlenbeck processes. The results are nonasymptotic and hold both in probability and conditional expectation with respect to an event resembling the restricted eigenvalue condition." @default.
- W4280495931 created "2022-05-22" @default.
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- W4280495931 date "2022-05-16" @default.
- W4280495931 modified "2023-09-26" @default.
- W4280495931 title "On Lasso and Slope drift estimators for L'evy-driven Ornstein--Uhlenbeck processes" @default.
- W4280495931 doi "https://doi.org/10.48550/arxiv.2205.07813" @default.
- W4280495931 hasPublicationYear "2022" @default.
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