A weighted nuclear elastic net estimator achieves squared Frobenius error of order r d log(T)/T for exactly low-rank drift matrices in continuously observed high-dimensional OU processes, under explicit dimension-horizon conditions.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.ST 1years
2026 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Weighted Nuclear Elastic Net Estimation of (Near-) Low-Rank Drift Matrices in Ornstein-Uhlenbeck Processes
A weighted nuclear elastic net estimator achieves squared Frobenius error of order r d log(T)/T for exactly low-rank drift matrices in continuously observed high-dimensional OU processes, under explicit dimension-horizon conditions.