Flexible Bayesian inference for diffusion processesusing splines

DOI10.1007/S11009-023-10056-9arXiv2106.05820OpenAlexW4387972224MaRDI QIDQ6087239FDOQ6087239

Paul A. Jenkins, Murray Pollock, Gareth O. Roberts

Publication date: 11 December 2023

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Abstract: We introduce a semi-parametric method to simultaneously infer both the drift and volatility functions of a discretely observed scalar diffusion. We introduce spline bases to represent these functions and develop a Markov chain Monte Carlo algorithm to infer, a posteriori, the coefficients of these functions in the spline basis. A key innovation is that we use spline bases to model transformed versions of the drift and volatility functions rather than the functions themselves. The output of the algorithm is a posterior sample of plausible drift and volatility functions that are not constrained to any particular parametric family. The flexibility of this approach provides practitioners a powerful investigative tool, allowing them to posit parametric models to better capture the underlying dynamics of their processes of interest. We illustrate the versatility of our method by applying it to challenging datasets from finance, paleoclimatology, and astrophysics. In view of the parametric diffusion models widely employed in the literature for those examples, some of our results are surprising since they call into question some aspects of these models.

Full work available at URL: https://arxiv.org/abs/2106.05820

zbMATH Keywords

Markov chain Monte Carlostochastic differential equationclimate modellinginterest-rate modellingpath-space rejection samplingquasar light curve modelling

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The elements of statistical learning. Data mining, inference, and prediction
• Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals
• Exponential convergence of Langevin distributions and their discrete approximations
• A practical guide to splines
• Retrospective exact simulation of diffusion sample paths with applications
• Estimation of the coefficients of a diffusion from discrete observations
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Markov Chain Monte Carlo for Exact Inference for Diffusions
• Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
• Bayesian inference for nonlinear multivariate diffusion models observed with error
• Reversible jump MCMC for nonparametric drift estimation for diffusion processes
• Posterior consistency via precision operators for Bayesian nonparametric drift estimation in SDEs
• A simple construction of certain diffusion processes
• Closed-form likelihood expansions for multivariate diffusions
• Simple simulation of diffusion bridges with application to likelihood inference for diffusions
• Penalized nonparametric mean square estimation of the coefficients of diffusion processes
• Exact simulation of diffusions
• Gaussian process methods for one-dimensional diffusions: optimal rates and adaptation
• Nonparametric estimation of diffusions: a differential equations approach
• Nonparametric Identification for Diffusion Processes
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• A factorisation of diffusion measure and finite sample path constructions
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• Monotone B-Spline Smoothing
• Ten methods to bound multiple roots of polynomials
• A review of the methods for signal estimation in stochastic diffusion leaky integrate-and-fire neuronal models
• Nonparametric estimation of scalar diffusions based on low frequency data
• Nonparametric Bayesian posterior contraction rates for discretely observed scalar diffusions
• Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
• CONCEPTUAL STOCHASTIC CLIMATE MODELS
• Adaptive drift estimation for nonparametric diffusion model.
• Nonparametric estimation of the drift coefficient in the diffusion equation
• Rates of convergence and asymptotic normality of kernel estimators for ergodic diffusion processes
• Consistent nonparametric Bayesian inference for discretely observed scalar diffusions
• Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
• Nonparametric Bayesian methods for one-dimensional diffusion models
• Consistency of Bayesian nonparametric inference for discretely observed jump diffusions
• Nonparametric Bayesian volatility learning under microstructure noise
• A Study of the Efficiency of Exact Methods for Diffusion Simulation

Cited In (1)

• Statistical modeling of diffusion processes with free knot splines

This page was built for publication: Flexible Bayesian inference for diffusion processesusing splines

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6087239)