Adaptive LASSO-type estimation for ergodic diffusion processes
Year of publication: |
2010-02-05
|
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Authors: | Gregorio, Alessandro De ; Iacus, Stefano |
Institutions: | Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Università degli Studi di Milano |
Subject: | discretely observed diffusion processes | model selection | oracle properties | random fields | stochastic differential equations |
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