Reversible jump MCMC for nonparametric drift estimation for diffusion processes
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Publication:1621341
DOI10.1016/j.csda.2013.03.002zbMath1471.62197arXiv1206.4910MaRDI QIDQ1621341
Harry van Zanten, Moritz Schauer, Frank H. van der Meulen
Publication date: 8 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1206.4910
data augmentation; reversible jump Markov chain Monte Carlo; nonparametric Bayesian inference; series prior; discretely observed diffusion process; multiplicative scaling parameter
62-08: Computational methods for problems pertaining to statistics
62G05: Nonparametric estimation
62M05: Markov processes: estimation; hidden Markov models
60J60: Diffusion processes