2022 - T3 - WS1 - Non-Linear and High Dimensional Inference

Collection 2022 - T3 - WS1 - Non-Linear and High Dimensional Inference

Organizer(s) Aamari, Eddie ; Aaron, Catherine ; Chazal, Frédéric ; Fischer, Aurélie ; Hoffmann, Marc ; Le Brigant, Alice ; Levrard, Clément ; Michel, Bertrand

Date(s) 03/10/2022 - 07/10/2022

linked URL https://indico.math.cnrs.fr/event/7545/

21 21

On high-dimensional Lévy-driven Ornstein-Uhlenbeck processes

By Claudia Strauch

We investigate the problem of estimating the drift parameter of a high-dimensional Lévy-driven Ornstein–Uhlenbeck process under sparsity constraints. It is shown that both Lasso and Slope estimators achieve the minimax optimal rate of convergence (up to numerical constants), for tuning parameters chosen independently of the confidence level. The results are non-asymptotic and hold both in probability and conditional expectation with respect to an event resembling the restricted eigenvalue condition. (Based on joint work with Niklas Dexheimer)

Information about the video

Date of publication 05/04/2024
Institution IHP
Language English
Format MP4

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