Reversible jump MCMC for nonparametric drift estimation for diffusion processes
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Abstract: In the context of nonparametric Bayesian estimation a Markov chain Monte Carlo algorithm is devised and implemented to sample from the posterior distribution of the drift function of a continuously or discretely observed one-dimensional diffusion. The drift is modeled by a scaled linear combination of basis functions with a Gaussian prior on the coefficients. The scaling parameter is equipped with a partially conjugate prior. The number of basis function in the drift is equipped with a prior distribution as well. For continuous data, a reversible jump Markov chain algorithm enables the exploration of the posterior over models of varying dimension. Subsequently, it is explained how data-augmentation can be used to extend the algorithm to deal with diffusions observed discretely in time. Some examples illustrate that the method can give satisfactory results. In these examples a comparison is made with another existing method as well.
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Cited in
(18)- Gaussian process methods for one-dimensional diffusions: optimal rates and adaptation
- Flexible Bayesian inference for diffusion processesusing splines
- Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
- Consistency of Bayesian nonparametric inference for discretely observed jump diffusions
- Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals
- Reversible Jump PDMP Samplers for Variable Selection
- Continuous-discrete smoothing of diffusions
- Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
- Posterior consistency via precision operators for Bayesian nonparametric drift estimation in SDEs
- MCMC methods for functions: modifying old algorithms to make them faster
- Nonparametric estimation of diffusions: a differential equations approach
- A generalized multiple-try version of the reversible jump algorithm
- Reversible jump MCMC for inference in a deterministic individual–based model of tree growth for studying forest dynamics
- Variational Inference for Stochastic Differential Equations
- Nonparametric Bayesian label prediction on a large graph using truncated Laplacian regularization
- Full adaptation to smoothness using randomly truncated series priors with Gaussian coefficients and inverse gamma scaling
- Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
- Variable bandwidth local maximum likelihood type estimation for diffusion processes
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