Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations

DOI10.3150/21-BEJ1413MaRDI QIDQ6353892arXivWikidataFDO

Authors D. Belomestny, Shota Gugushvili, Moritz Schauer, Peter Spreij

Publication date 16 November 2020

Published in arXiv

Full work available at URL https://doi.org/10.3150/21-BEJ1413

Mathematics Subject Classification ID

Stochastic processes (60Gxx) Parametric inference (62Fxx) Nonparametric inference (62Gxx)

arXiv classification

math.STstat.MEstat.TH

Abstract: We study a nonparametric Bayesian approach to estimation of the volatility function of a stochastic differential equation driven by a gamma process. The volatility function is modelled a priori as piecewise constant, and we specify a gamma prior on its values. This leads to a straightforward procedure for posterior inference via an MCMC procedure. We give theoretical performance guarantees (contraction rates for the posterior) for the Bayesian estimate in terms of the regularity of the unknown volatility function. We illustrate the method on synthetic and real data examples.

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