Gaussian process methods for one-dimensional diffusions: optimal rates and adaptation
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Abstract: We study the performance of nonparametric Bayes procedures for one-dimensional diffusions with periodic drift. We improve existing convergence rate results for Gaussian process (GP) priors with fixed hyper parameters. Moreover, we exhibit several possibilities to achieve adaptation to smoothness. We achieve this by considering hierarchical procedures that involve either a prior on a multiplicative scaling parameter, or a prior on the regularity parameter of the GP.
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Cited in
(17)- Spectral thresholding for the estimation of Markov chain transition operators
- Nonparametric Bayesian inference for reversible multidimensional diffusions
- Sup-norm adaptive drift estimation for multivariate nonreversible diffusions
- Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
- Nonparametric Bayesian posterior contraction rates for scalar diffusions with high-frequency data
- Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation
- Sparsity-promoting and edge-preserving maximum a posteriori estimators in non-parametric Bayesian inverse problems
- Optimal convergence rates of Bayesian wavelet estimation with a novel empirical prior in nonparametric regression model
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- Kriging prediction with isotropic Matérn correlations: robustness and experimental designs
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