Stefano Iacus, University of Milano

Seminar 1

Title
On LASSO type estimation for discretely observed diffusion processes

Abstract
The LASSO is a widely used statistical methodology for simultaneous 
estimation and variable selection. In the last years, many authors 
analyzed this technique from a theoretical and applied point of view.

We introduce and study the adaptive LASSO problem for discretely 
observed ergodic diffusion processes. We prove oracle properties also 
deriving the asymptotic distribution of the LASSO estimator.

We present simulated and real data analysis to provide some evidence 
on the applicability of this method.