On Lasso-type estimation for dynamical systems with small noise

Details On Lasso-type estimation for dynamical systems with small noise On Lasso-type estimation for dynamical systems with small noise

2009-12-27

arxiv.org/abs/0912.5078v1

Mathematics

Statistics Theory

Scientific paper

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.

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