On Lasso-type estimation for dynamical systems with small noise

Stefano Iacus ()

No unimi-1101, UNIMI - Research Papers in Economics, Business, and Statistics from Universitá degli Studi di Milano

Abstract: We consider a dynamical system with small noise where the drift is parametrized by a finite dimensional parameter. For this model we consider minimum distance estimation from continuous time observations under some penalty imposed on the parameters in the spirit of the Lasso approach. This approach allows for simultaneous estimation and model selection for this model.

Keywords: dynamical systems; lasso estimation; model selection; inference for stochastic processes; diffusion processes (search for similar items in EconPapers)
Date: 2010-02-05
Note: oai:cdlib1:unimi-1101
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Working Paper: On Lasso-type estimation for dynamical systems with small noise (2010)
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