to select the involved tuning parameter. We show that the penalized maximum likelihood estimator has the oracle … properties. The method can implement model selection and estimation simultaneously and the estimator always has the usual Ín …

to select the involved tuning parameter. We show that the penalized maximum likelihood estimator has the oracle … properties. The method can implement model selection and estimation simultaneously and the estimator always has the usual √n …

adaptive LASSO problem for discretely observed ergodic diffusion processes. We prove oracle properties also deriving the …

. Asymptotic properties of our penalized estimators are provided. Specifically, the estimators enjoy the oracle properties in the …

, the resulting estimator is shown to be consistent and to enjoy the oracle properties. …