ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES
多元扩散过程的自适应 LASSO 型估计
The least absolute shrinkage and selection operator (LASSO) is a widely used statistical methodology for simultaneous estimation and variable selection. It is a shrinkage estimation method that allows one to select parsimonious models. In other words, this method estimates the redundant parameters as zero in the large samples and reduces variance of estimates. In recent years, many authors analyzed this technique from a theoretical and applied point of view. We introduce and…