Nonparametric Bayesian inference for reversible multi-dimensional diffusions

DOI10.1214/22-AOS2213MaRDI QIDQ6356702arXivFDO

Authors M. Giordano, Kolyan Ray

Publication date 22 December 2020

Published in arXiv

Full work available at URL https://doi.org/10.1214/22-AOS2213

Mathematics Subject Classification ID

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

arXiv classification

math.PRmath.STstat.THcs.NAmath.NA

Abstract: We study nonparametric Bayesian models for reversible multi-dimensional diffusions with periodic drift. For continuous observation paths, reversibility is exploited to prove a general posterior contraction rate theorem for the drift gradient vector field under approximation-theoretic conditions on the induced prior for the invariant measure. The general theorem is applied to Gaussian priors and $p$-exponential priors, which are shown to converge to the truth at the minimax optimal rate over Sobolev smoothness classes in any dimension.

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