On Lasso-type estimation for dynamical systems with small noise - Mathematics > Statistics TheoryReport as inadecuate




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Abstract: We consider a dynamical system with small noise for which the drift isparametrized by a finite dimensional parameter. For this model we considerminimum distance estimation from continuous time observations under L-p penaltyimposed on the parameters in the spirit of the Lasso approach with the aim ofsimultaneous estimation and model selection. We study the consistency and theasymptotic distribution of these Lasso-type estimators for different values ofp. For p=1 we also consider the adaptive version of the Lasso estimator.



Author: Stefano Iacus

Source: https://arxiv.org/







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