Realized Regularized Regressions
已实现正则化回归
We develop a continuous-time penalized regression framework for the estimation of time-varying coefficients and variable selection when both the response and covariates are Itô semimartingales with jumps. The coefficient paths are approximated by spline basis expansions and estimated via least squares from truncated high-frequency increments. In a finite-dimensional setting, we establish consistency and derive a feasible asymptotic distribution for the integrated coefficient…