Low-Rank and Sparse Drift Estimation for High-Dimensional Lévy-Driven Ornstein--Uhlenbeck Processes
This paper proposes and analyzes a convex estimator for the drift matrix of high-dimensional Lévy-driven Ornstein--Uhlenbeck processes under a low-rank-plus-sparse structure, establishing a non-asymptotic oracle inequality that demonstrates improved dimensionality dependence compared to purely sparse methods while accounting for discretization and truncation biases across various Lévy regimes.