M. Podolskij

Weighted Nuclear Elastic Net Estimation of (Near-) Low-Rank Drift Matrices in Ornstein-Uhlenbeck Processes

We study estimation of the drift matrix in a continuously observed high-dimensional Ornstein-Uhlenbeck process when the drift is exactly or approximately low rank. In this setting, exact low rank induces non-stable directions and hence a non-ergodic regime, resulting in a poorly conditioned empirical covariance matrix....