Research Seminar - Dmytro Marushkevych
We are pleased to announce the upcoming Research Seminar on May 5, 2023.
The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, taking place on campus:
Dmytro Marushkevych (Department of Mathematical Sciences, University of Copenhagen):
Parametric Statistical Inference for High-Dimensional Diffusions
Friday, May 5, 2023, 3:00 pm, Room D4.4.008
Abstract: This talk is dedicated to the problem of parametric estimation in the diffusion setting and mostly concentrated on properties of the Lasso estimator of drift component. More specifically, we consider a multivariate parametric diffusion model X observed continuously over the interval [0, T] and investigate drift estimation under sparsity constraints. We allow the dimensions of the model and the parameter space to be large. We obtain an oracle inequality for the Lasso estimator and derive an error bound for the L2-distance using concentration inequalities for linear functionals of diffusion processes. The probabilistic part is based upon elements of empirical processes theory and, in particular, on the chaining method. Some alternative estimation procedures, such as adaptive Lasso and Slope will also be discussed to give a perspective on improving the obtained results.
We aim to stream all on-campus talks via Zoom. A direct link to the stream will be posted on our website.
For further information and the seminar schedule, please see: