Nonparametric Bayesian inference for stochastic processes with piecewise constant priors

DOI10.1007/978-3-031-47417-0_28MaRDI QIDQ6436383zbMATH OpenFDO

Authors D. Belomestny, Frank van der Meulen, Peter Spreij

Publication date 12 May 2023

Full work available at URL https://doi.org/10.1007/978-3-031-47417-0_28

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

Abstract: We present a survey of some of our recent results on Bayesian nonparametric inference for a multitude of stochastic processes. The common feature is that the prior distribution in the cases considered is on suitable sets of piecewise constant or piecewise linear functions, that differ for the specific situations at hand. Posterior consistency and in most cases contraction rates for the estimators are presented. Numerical studies on simulated and real data accompany the theoretical results.

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