The Dantzig Selector for Diffusion Processes with Covariates

• Fujimori Kou

  Graduate School of Fundamental Science and Engineering, Waseda University

• Nishiyama Yoichi

  School of International Liberal Studies, Waseda University

抄録

The Dantzig selector for a special parametric model of diffusion processes is studied in this paper. In our model, the diffusion coefficient is given as the exponential of the linear combination of other processes which are regarded as covariates. We propose an estimation procedure which is an adaptation of the Dantzig selector for linear regression models and prove the l_q consistencyof the estimator for all q ∈ [1,∞].

収録刊行物

• ＪＯＵＲＮＡＬ　ＯＦ　ＴＨＥ　ＪＡＰＡＮ　ＳＴＡＴＩＳＴＩＣＡＬ　ＳＯＣＩＥＴＹ

  ＪＯＵＲＮＡＬ　ＯＦ　ＴＨＥ　ＪＡＰＡＮ　ＳＴＡＴＩＳＴＩＣＡＬ　ＳＯＣＩＥＴＹ 47 (1), 59-73, 2017

  日本統計学会

キーワード

• Dantzig selector
• diffusion process
• high-dimensional and sparse setting

詳細情報

• CRID: 1390282680264028928
• NII論文ID: 130006292368
• NII書誌ID: AA1105098X
• DOI: 10.14490/jjss.47.59
• ISSN: 13486365
• ISSN: 18822754
• NDL書誌ID: 028385972
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I028385972
• Web Site: https://www.jstage.jst.go.jp/article/jjss/47/1/47_59/_pdf
• 本文言語コード: en
• データソース種別:
  • JaLC
  • NDL
  • Crossref
  • CiNii Articles
• 抄録ライセンスフラグ: 使用不可