The Dantzig selector for diffusion processes with covariates

Abstract

The Dantzig selector for a special parametric model of diffusion processes is studied in this paper. In our model, the diffusion coefficient is given as the exponential of the linear combination of other processes which are regarded as covariates. We propose an estimation procedure which is an adaptation of the Dantzig selector for linear regression models and prove the $l_q$ consistency of the estimator for all $q \in [1,\infty]$.