Nonparametric Bayesian posterior contraction rates for discretely observed scalar diffusions
From MaRDI portal
Publication:2403433
DOI10.1214/16-AOS1504zbMath1411.62087arXiv1510.05526MaRDI QIDQ2403433
Publication date: 8 September 2017
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.05526
Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Bayesian inference (62F15) Diffusion processes (60J60)
Related Items (32)
Spectral estimation for diffusions with random sampling times ⋮ Consistency of Bayesian inference with Gaussian process priors for a parabolic inverse problem ⋮ Consistency of Bayesian inference for multivariate max-stable distributions ⋮ The mathematical work of Evarist Giné ⋮ On Bayesian consistency for flows observed through a passive scalar ⋮ Bayesian inverse problems with unknown operators ⋮ Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations ⋮ Consistency of Bayesian nonparametric inference for discretely observed jump diffusions ⋮ Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation ⋮ Flexible Bayesian inference for diffusion processesusing splines ⋮ Toward a mathematical theory of trajectory inference ⋮ Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions ⋮ Semiparametric estimation of McKean-Vlasov SDEs ⋮ On some information-theoretic aspects of non-linear statistical inverse problems ⋮ Consistency of Bayesian inference with Gaussian process priors in an elliptic inverse problem ⋮ Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies ⋮ Bayesian linear inverse problems in regularity scales ⋮ Efficient nonparametric Bayesian inference for \(X\)-ray transforms ⋮ Local M-estimation with discontinuous criterion for dependent and limited observations ⋮ On frequentist coverage errors of Bayesian credible sets in moderately high dimensions ⋮ Convergence Rates for Penalized Least Squares Estimators in PDE Constrained Regression Problems ⋮ Modern regularization methods for inverse problems ⋮ Solving inverse problems using data-driven models ⋮ Spectral thresholding for the estimation of Markov chain transition operators ⋮ Nonparametric Bayesian posterior contraction rates for scalar diffusions with high-frequency data ⋮ Rademacher complexity for Markov chains: applications to kernel smoothing and Metropolis-Hastings ⋮ On statistical Calderón problems ⋮ Bernstein-von Mises theorems for statistical inverse problems. II: Compound Poisson processes ⋮ Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient ⋮ Bernstein-von Mises theorems for statistical inverse problems. I: Schrödinger equation ⋮ Unnamed Item ⋮ Nonparametric Bayesian inference for reversible multidimensional diffusions
This page was built for publication: Nonparametric Bayesian posterior contraction rates for discretely observed scalar diffusions
