JOURNAL OF THE JAPAN STATISTICAL SOCIETY
Online ISSN : 1348-6365
Print ISSN : 1882-2754
Articles
The Dantzig Selector for Diffusion Processes with Covariates
Kou FujimoriYoichi Nishiyama
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JOURNALS FREE ACCESS

2017 Volume 47 Issue 1 Pages 59-73

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Abstract

The Dantzig selector for a special parametric model of diffusion processes is studied in this paper. In our model, the diffusion coefficient is given as the exponential of the linear combination of other processes which are regarded as covariates. We propose an estimation procedure which is an adaptation of the Dantzig selector for linear regression models and prove the lq consistencyof the estimator for all q ∈ [1,∞].

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© 2017 Japan Statistical Society
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