Low-Rank and Sparse Drift Estimation for High-Dimensional Lévy-Driven Ornstein--Uhlenbeck Processes

We study drift estimation for discretely observed high-dimensional Lévy-driven Ornstein--Uhlenbeck processes when the drift admits a low-rank-plus-sparse approximation. A localized, increment-truncated pseudo-likelihood is regularized by nuclear and entrywise $\ell_1$ norms. A weighted joint-cone ar