Convergence rates of posterior distributions for Brownian semimartingale models

DOI10.3150/BJ/1161614950zbMATH Open1142.62057OpenAlexW2147614883MaRDI QIDQ882885FDOQ882885

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

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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)

• Nonparametric Bayesian inference for reversible multidimensional diffusions
• On Brownian motion as a prior for nonparametric regression
• Gaussian process methods for one-dimensional diffusions: optimal rates and adaptation
• Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
• Nonparametric Bayesian inference for ergodic diffusions
• Consistency of Bayesian nonparametric inference for discretely observed jump diffusions
• Adaptive nonparametric Bayesian inference using location-scale mixture priors
• Parameter estimation: the proper way to use Bayesian posterior processes with Brownian noise
• Nonparametric Bayesian methods for one-dimensional diffusion models
• 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
• On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models

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