Title: Reguralized estimation with multiple penalties and its application to stochastic differential equations
Authors: Alessandro De Gregorio - University of Rome La Sapienza (Italy) [presenting]
Francesco Iafrate - University of Rome La Sapienza (Italy)
Abstract: Penalized estimation methods for statistical models with different rates of convergence are introduced. Furthermore, we discuss the asymptotic properties of our estimator. In particular, we focus our attention on stochastic differential equations observed at discrete times. Some numerical examples are also provided.