Posterior contraction rates for non-parametric state and drift estimation

Authors Sebastian Reich, Paul. J. Rozdeba

Publication date 20 March 2020

Bayesian inference (62F15) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Inference from stochastic processes and prediction (62M20)

Abstract: We consider a combined state and drift estimation problem for the linear stochastic heat equation. The infinite-dimensional Bayesian inference problem is formulated in terms of the Kalman-Bucy filter over an extended state space, and its long-time asymptotic properties are studied. Asymptotic posterior contraction rates in the unknown drift function are the main contribution of this paper. Such rates have been studied before for stationary non-parametric Bayesian inverse problems, and here we demonstrate the consistency of our time-dependent formulation with these previous results building upon scale separation and a slow manifold approximation.

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