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- Fujimori Kou
- Graduate School of Fundamental Science and Engineering, Waseda University
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- Nishiyama Yoichi
- School of International Liberal Studies, Waseda University
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説明
<p>The Dantzig selector for a special parametric model of diffusion processes is studied in this paper. In our model, the diffusion coefficient is given as the exponential of the linear combination of other processes which are regarded as covariates. We propose an estimation procedure which is an adaptation of the Dantzig selector for linear regression models and prove the lq consistencyof the estimator for all q ∈ [1,∞].</p>
収録刊行物
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- JOURNAL OF THE JAPAN STATISTICAL SOCIETY
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JOURNAL OF THE JAPAN STATISTICAL SOCIETY 47 (1), 59-73, 2017
日本統計学会
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詳細情報 詳細情報について
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- CRID
- 1390282680264028928
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- NII論文ID
- 130006292368
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- NII書誌ID
- AA1105098X
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- ISSN
- 13486365
- 18822754
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- NDL書誌ID
- 028385972
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- 本文言語コード
- en
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- データソース種別
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- JaLC
- NDL
- Crossref
- CiNii Articles
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- 抄録ライセンスフラグ
- 使用不可