Nonparametric Bayesian estimation of a Hölder continuous diffusion
coefficient

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Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient

22 June 2017

Frank van der Meulen

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Papers citing "Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient"

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Title
Approximate Bayes learning of stochastic differential equations Philipp Batz Andreas Ruttor Manfred Opper 45 43 0 17 Feb 2017
Nonparametric Bayesian posterior contraction rates for discretely observed scalar diffusions Richard Nickl Jakob Sohl 60 76 0 19 Oct 2015
Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation S. Gugushvili Peter Spreij 420 3 0 09 Sep 2014
Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals Frank van der Meulen Moritz Schauer 62 59 0 18 Jun 2014
A sharp adaptive confidence ball for self-similar functions Richard Nickl Botond Szabó 45 36 0 16 Jun 2014
Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes H. Mai 57 44 0 12 Mar 2014
Honest Bayesian confidence sets for the L2-norm Botond Szabó A. van der Vaart Harry Van Zanten 75 29 0 29 Nov 2013
Frequentist coverage of adaptive nonparametric Bayesian credible sets Botond Szabó Van der Vaart V. Zanten 89 159 0 16 Oct 2013
On the Bernstein-von Mises phenomenon for nonparametric Bayes procedures I. Castillo Richard Nickl 79 130 0 09 Oct 2013
A Bernstein-von Mises theorem for smooth functionals in semiparametric models I. Castillo Judith Rousseau 110 117 0 20 May 2013
Consistent nonparametric Bayesian inference for discretely observed scalar diffusions Frank van der Meulen Harry Van Zanten 92 38 0 31 Jan 2013
$Gaussian pseudo-maximum likelihood estimation of fractional time series models$ Gaussian pseudo-maximum likelihood estimation of fractional time series models J. Hualde P. Robinson 38 82 0 13 Mar 2012
$Rates of contraction for posterior distributions in $\bolds{L^r}$-metrics, $\bolds{1\le r\le\infty}$$ Rates of contraction for posterior distributions in $\bolds{L^r}$ -metrics, $\bolds{1\le r\le\infty}$ Evarist Giné Richard Nickl 81 108 0 09 Mar 2012
A Fourier transform method for nonparametric estimation of multivariate volatility P. Malliavin M. Mancino 102 139 0 13 Aug 2009
Least squares volatility change point estimation for partially observed diffusion processes A. De Gregorio S. Iacus 347 34 0 19 Sep 2007
Convergence rates of posterior distributions for noniid observations S. Ghosal A. van der Vaart 371 397 0 03 Aug 2007