Weighted Nuclear Elastic Net Estimation of (Near-) Low-Rank Drift Matrices in Ornstein-Uhlenbeck Processes
Ornstein–Uhlenbeck过程低秩及近低秩漂移矩阵的加权核弹性网估计
We study estimation of the drift matrix in a continuously observed high-dimensional Ornstein-Uhlenbeck process when the drift is exactly or approximately low rank. In this setting, exact low rank induces non-stable directions and hence a non-ergodic regime, resulting in a poorly conditioned empirical covariance matrix. To address this difficulty, we introduce a Weighted Nuclear Elastic Net Estimator that combines ridge regularization with a nuclear-norm penalty expressed in…