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Statistical Methods For High Dimensional Diffusions

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Publications

On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model

Author(s): Gabriela Ciolek, Dmytro Marushkevych and Mark Podolskij
Published in: arxiv, 2020

Optimal estimation of some random quantities of a Lévy process

Author(s): Jevgenijs Ivanovs and Mark Podolskij
Published in: arxiv, 2020