Gaussian process methods for one-dimensional diffusions: optimal rates and adaptation

DOI10.1214/16-EJS1117zbMATH Open1403.62152arXiv1506.00515OpenAlexW2266049763MaRDI QIDQ259199FDOQ259199

Authors: Jan van Waaij, Harry van Zanten 

Publication date: 11 March 2016

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: We study the performance of nonparametric Bayes procedures for one-dimensional diffusions with periodic drift. We improve existing convergence rate results for Gaussian process (GP) priors with fixed hyper parameters. Moreover, we exhibit several possibilities to achieve adaptation to smoothness. We achieve this by considering hierarchical procedures that involve either a prior on a multiplicative scaling parameter, or a prior on the regularity parameter of the GP.

Full work available at URL: https://arxiv.org/abs/1506.00515

Recommendations

• Nonparametric Bayesian inference for ergodic diffusions
• Consistent nonparametric Bayesian inference for discretely observed scalar diffusions
• Bayesian inference with rescaled Gaussian process priors
• Rates of contraction of posterior distributions based on Gaussian process priors
• Nonparametric estimation of diffusions: a differential equations approach

zbMATH Keywords

Bayesian inferenceadaptation to smoothnessasymptotic performanceGaussian process priornonparametric inference for diffusions

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Gaussian processes (60G15) Diffusion processes (60J60)

Cites Work

• Title not available (Why is that?)
• Convergence rates of posterior distributions.
• Nonparametric Bayesian model selection and averaging
• Title not available (Why is that?)
• Statistical inference for ergodic diffusion processes.
• Reversible jump MCMC for nonparametric drift estimation for diffusion processes
• Posterior consistency via precision operators for Bayesian nonparametric drift estimation in SDEs
• Empirical Bayes scaling of Gaussian priors in the white noise model
• Lower bounds for posterior rates with Gaussian process priors
• Bayes procedures for adaptive inference in inverse problems for the white noise model
• Nonparametric estimation of diffusions: a differential equations approach
• Analysis of the Gibbs Sampler for Hierarchical Inverse Problems
• The stochastic Fubini theorem revisited
• Title not available (Why is that?)
• On universal Bayesian adaptation
• Convergence rates of posterior distributions for Brownian semimartingale models
• Rates of contraction of posterior distributions based on Gaussian process priors

Cited In (12)

• Optimal convergence rates of Bayesian wavelet estimation with a novel empirical prior in nonparametric regression model
• Sparsity-promoting and edge-preserving maximum a posteriori estimators in non-parametric Bayesian inverse problems
• Nonparametric Bayesian inference for reversible multidimensional diffusions
• Flexible Bayesian inference for diffusion processesusing splines
• Nonparametric Bayesian posterior contraction rates for scalar diffusions with high-frequency data
• Title not available (Why is that?)
• Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation
• Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
• Besov-Laplace priors in density estimation: optimal posterior contraction rates and adaptation
• Spectral thresholding for the estimation of Markov chain transition operators
• Full adaptation to smoothness using randomly truncated series priors with Gaussian coefficients and inverse gamma scaling
• Sup-norm adaptive drift estimation for multivariate nonreversible diffusions

This page was built for publication: Gaussian process methods for one-dimensional diffusions: optimal rates and adaptation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q259199)