Gaussian process methods for one-dimensional diffusions: optimal rates and adaptation

DOI10.1214/16-EJS1117zbMath1403.62152arXiv1506.00515OpenAlexW2266049763MaRDI QIDQ259199

Jan van Waaij, Harry van Zanten

Publication date: 11 March 2016

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.00515

zbMATH Keywords

Bayesian inferenceadaptation to smoothnessasymptotic performanceGaussian process priornonparametric inference for diffusions

Mathematics Subject Classification ID

Gaussian processes (60G15) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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