Stéphane Gaïffas, Gustaw Matulewicz. Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process. J. Multivariate Analysis, 169:1-20, 2019. [doi]
@article{GaiffasM19,
title = {Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process},
author = {Stéphane Gaïffas and Gustaw Matulewicz},
year = {2019},
doi = {10.1016/j.jmva.2018.08.005},
url = {https://doi.org/10.1016/j.jmva.2018.08.005},
researchr = {https://researchr.org/publication/GaiffasM19},
cites = {0},
citedby = {0},
journal = {J. Multivariate Analysis},
volume = {169},
pages = {1-20},
}