Reversible jump MCMC for nonparametric drift estimation for diffusion processes

DOI10.1016/j.csda.2013.03.002zbMath1471.62197arXiv1206.4910OpenAlexW2122947017MaRDI 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

zbMATH Keywords

data augmentationreversible jump Markov chain Monte Carlononparametric Bayesian inferenceseries priordiscretely observed diffusion processmultiplicative scaling parameter

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (13)

A generalized multiple-try version of the reversible jump algorithm ⋮ Nonparametric Bayesian label prediction on a large graph using truncated Laplacian regularization ⋮ Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data ⋮ Consistency of Bayesian nonparametric inference for discretely observed jump diffusions ⋮ Variational Inference for Stochastic Differential Equations ⋮ Flexible Bayesian inference for diffusion processesusing splines ⋮ Variable bandwidth local maximum likelihood type estimation for diffusion processes ⋮ Continuous-discrete smoothing of diffusions ⋮ Full adaptation to smoothness using randomly truncated series priors with Gaussian coefficients and inverse gamma scaling ⋮ Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations ⋮ MCMC methods for functions: modifying old algorithms to make them faster ⋮ Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient ⋮ Gaussian process methods for one-dimensional diffusions: optimal rates and adaptation

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