Nonparametric Bayesian posterior contraction rates for scalar diffusions with high-frequency data
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Publication:2325338
DOI10.3150/18-BEJ1067zbMath1428.62139arXiv1802.05635MaRDI QIDQ2325338
Publication date: 25 September 2019
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.05635
Bayesian nonparametricsdiffusion processesadaptive estimationdiscrete time observationsconcentration inequalitiesdrift function
Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
Related Items (7)
On the nonparametric inference of coefficients of self-exciting jump-diffusion ⋮ On Bayesian consistency for flows observed through a passive scalar ⋮ A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation ⋮ Convergence Rates for Penalized Least Squares Estimators in PDE Constrained Regression Problems ⋮ Spectral thresholding for the estimation of Markov chain transition operators ⋮ Bernstein-von Mises theorems for statistical inverse problems. I: Schrödinger equation ⋮ Nonparametric Bayesian inference for reversible multidimensional diffusions
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