کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8961108 | 1646465 | 2019 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process
ترجمه فارسی عنوان
استنتاج استدلال راندگی فرآیند اورنستاین-اولنبک با ابعاد بزرگ
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آنالیز عددی
چکیده انگلیسی
Given the observation of a high-dimensional Ornstein-Uhlenbeck (OU) process in continuous time, we are interested in inference on the drift parameter under a row-sparsity assumption. Towards that aim, we consider the negative log-likelihood of the process, penalized by an â1-penalization (Lasso and Adaptive Lasso). We provide both finite- and large-sample results for this procedure, by means of a sharp oracle inequality, and a limit theorem in the long-time asymptotics, including asymptotic consistency for variable selection. As a by-product, we point out the fact that for the Ornstein-Uhlenbeck process, one does not need an assumption of restricted eigenvalue type in order to derive fast rates for the Lasso, while it is well-known to be mandatory for linear regression for instance. Numerical results illustrate the benefits of this penalized procedure compared to standard maximum likelihood approaches both on simulations and real-world financial data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 169, January 2019, Pages 1-20
Journal: Journal of Multivariate Analysis - Volume 169, January 2019, Pages 1-20
نویسندگان
Stéphane Gaïffas, Gustaw Matulewicz,