On Lasso and Slope drift estimators for Lévy-driven Ornstein–Uhlenbeck processes

Abstract

We investigate the problem of estimating the drift parameter of a high-dimensional Lévy-driven Ornstein–Uhlenbeck process under sparsity constraints. It is shown that both Lasso and Slope estimators achieve the minimax optimal rate of convergence (up to numerical constants), for tuning parameters chosen independently of the confidence level, which improves the previously obtained results for standard Ornstein–Uhlenbeck processes.