Abstract
AbstractThis paper mainly discusses the asymptotic behaviours on the lasso-type estimators for diffusion-type processes with a small noise. By constructing the objective function on the estimation, in view of convexity argument, it is proved that the estimator for different values of γ satisfies the iterated logarithm law. The result also presents the exponential convergence principle for the estimator converging to the true value.
Funder
the National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Algebra and Number Theory,Analysis
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