Weighted Nuclear Elastic Net Estimation of (Near-) Low-Rank Drift Matrices in Ornstein-Uhlenbeck Processes

Abstract

We study estimation of the drift matrix in a continuously observed high-dimensional Ornstein-Uhlenbeck process when the drift is exactly or approximately low rank. In this setting, exact low rank induces non-stable directions and hence a non-ergodic regime, resulting in a poorly conditioned empirical covariance matrix. To address this difficulty, we introduce a Weighted Nuclear Elastic Net Estimator that combines ridge regularization with a nuclear-norm penalty expressed in the empirical likelihood geometry. Under a general diagonalizable spectral framework, we establish oracle inequalities relative to arbitrary low-rank comparison matrices. For near low-rank drifts, the approximation error is naturally measured through the singular-value decay of the drift after weighting by the regularized empirical covariance. The stochastic term is controlled by self-normalized martingale arguments under appropriate choice of the tuning parameter. For a symmetric positive-semidefinite exact low-rank model, we verify the empirical-curvature condition required to translate the weighted bound into a Frobenius-norm bound. With an appropriate choice of tuning parameters, the resulting estimator satisfies, up to a logarithmic factor, the standard rank-$r$ matrix-estimation scaling $r d/T$: specifically, its squared Frobenius error is of order $r d\log(T)/T$