Lasso and probabilistic inequalities for multivariate point processes

Article, Preprint, Other literature type English OPEN
Hansen , Niels Richard; Reynaud-Bouret , Patricia; Rivoirard , Vincent;
  • Publisher: Bernoulli Society for Mathematical Statistics and Probability
  • Journal: issn: 1350-7265
  • Publisher copyright policies & self-archiving
  • Related identifiers: doi: 10.3150/13-BEJ562
  • Subject: Mathematics - Statistics Theory | Bernstein-type inequalities | 62G05, 62M09, 60G55, 60E15 | [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] | Hawkes processes | multivariate counting process | [ STAT.TH ] Statistics [stat]/Statistics Theory [stat.TH] | [ MATH.MATH-ST ] Mathematics [math]/Statistics [math.ST] | Lasso procedure | [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH] | adaptive estimation
    arxiv: Statistics::Theory

Due to its low computational cost, Lasso is an attractive regularization method for high-dimensional statistical settings. In this paper, we consider multivariate counting processes depending on an unknown function parameter to be estimated by linear combinations of a f... View more
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