Two step estimations via the Dantzig selector for models of stochastic processes with high-dimensional parameters
高维随机过程模型的 Dantzig 选择器两步估计
We consider the sparse estimation for stochastic processes with possibly infinite-dimensional nuisance parameters, by using the Dantzig selector which is a sparse estimation method similar to $Z$-estimation. When a consistent estimator for a nuisance parameter is obtained, it is possible to construct an asymptotically normal estimator for the parameter of interest under appropriate conditions. Motivated by this fact, we establish the asymptotic behavior of the Dantzig…