On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model

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Authors: Gabriela Ciołek, Dmytro Marushkevych, Mark Podolskij

Journal title: Electronic Journal of Statistics

Journal number: 14/2

Journal publisher: Institute of Mathematical Statistics

Published year: 2020

Published pages: 4395-4420

DOI identifier: 10.1214/20-ejs1775

ISSN: 1935-7524