English

On Lasso estimator for the drift function in diffusion models

Statistics Theory 2023-03-29 v2 Statistics Theory

Abstract

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 model XX observed continuously over the interval [0,T][0,T] and investigate drift estimation under sparsity constraints. We allow the dimensions of the model and the parameter space to be large. We obtain an oracle inequality for the Lasso estimator and derive an error bound for the L2L^2-distance using concentration inequalities for linear functionals of diffusion processes. The probabilistic part is based upon elements of empirical processes theory and, in particular, on the chaining method.

Keywords

Cite

@article{arxiv.2209.05974,
  title  = {On Lasso estimator for the drift function in diffusion models},
  author = {Gabriela Ciolek and Dmytro Marushkevych and Mark Podolskij},
  journal= {arXiv preprint arXiv:2209.05974},
  year   = {2023}
}
R2 v1 2026-06-28T01:12:42.439Z