Nonparametric Bayesian volatility estimation

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Nonparametric Bayesian volatility estimation

30 January 2018

Frank van der Meulen

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Papers citing "Nonparametric Bayesian volatility estimation"

12 / 12 papers shown

Title
Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient S. Gugushvili Frank van der Meulen Moritz Schauer Peter Spreij 56 6 0 22 Jun 2017
Approximate Bayes learning of stochastic differential equations Philipp Batz Andreas Ruttor Manfred Opper 45 43 0 17 Feb 2017
Variational Inference: A Review for Statisticians David M. Blei A. Kucukelbir Jon D. McAuliffe BDL 305 4,812 0 04 Jan 2016
Nonparametric Bayesian posterior contraction rates for discretely observed scalar diffusions Richard Nickl Jakob Sohl 62 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 445 3 0 09 Sep 2014
Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals Frank van der Meulen Moritz Schauer 66 59 0 18 Jun 2014
Posterior concentration rates for empirical Bayes procedures, with applications to Dirichlet Process mixtures S. Donnet Vincent Rivoirard Judith Rousseau Catia Scricciolo 80 41 0 17 Jun 2014
Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion S. Gugushvili Peter Spreij 66 4 0 24 Apr 2013
Consistent nonparametric Bayesian inference for discretely observed scalar diffusions Frank van der Meulen Harry Van Zanten 92 38 0 31 Jan 2013
Non-parametric Bayesian drift estimation for stochastic differential equations S. Gugushvili Peter Spreij 62 22 0 21 Jun 2012
Bayes and empirical Bayes: do they merge? Sonia Petrone Judith Rousseau Catia Scricciolo FedML 107 77 0 06 Apr 2012
Least squares volatility change point estimation for partially observed diffusion processes A. De Gregorio S. Iacus 354 35 0 19 Sep 2007

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