Convergence rates of posterior distributions for Brownian semimartingale models

DOI10.3150/BJ/1161614950MaRDI QIDQ882885zbMATH OpenOpenAlexFDO

Authors J. H. van Zanten, Frank van der Meulen, Aad van der Vaart

Publication date 24 May 2007

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/bj/1161614950

zbMATH Keywords

waveletsrate of convergenceBayesian estimationHellinger distanceDirichlet processescontinuous semimartingalesinfinite-dimensional model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20) Diffusion processes (60J60) Brownian motion (60J65)

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Cited in

(18)

• On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models
• Nonparametric Bayesian inference for reversible multidimensional diffusions
• Gaussian process methods for one-dimensional diffusions: optimal rates and adaptation
• On Brownian motion as a prior for nonparametric regression
• Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
• Nonparametric Bayesian inference for ergodic diffusions
• Adaptive nonparametric Bayesian inference using location-scale mixture priors
• Consistency of Bayesian nonparametric inference for discretely observed jump diffusions
• Nonparametric Bayesian methods for one-dimensional diffusion models
• Parameter estimation: the proper way to use Bayesian posterior processes with Brownian noise
• Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
• Bayesian consistency for Markov models
• Parametric estimation from approximate data: non-Gaussian diffusions
• Rate-optimal Bayesian intensity smoothing for inhomogeneous Poisson processes
• Adaptive estimation of multivariate functions using conditionally Gaussian tensor-product spline priors
• 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
• Convergence rates of posterior distributions for non iid observations

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