Penalized least squares approximation methods and their applications to stochastic processes

We construct an objective function that consists of a quadratic approximation term and an Lq penalty (0<q<less than or equal to>1) term. Thanks to the quadratic approximation, we can deal with various kinds of loss functions into a unified way, and by taking advantage of the Lq penalty term, we can simultaneously execute variable selection and parameter estimation. In this article, we show that our estimator has oracle properties, and even better property. We also treat stochastic processes as applications.