Cover Image

Nonparametric Bayesian estimation in a multidimensional diffusion model with high frequency data

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Hoffmann, Marc, Ray, Kolyan
Format:	Preprint
Published:	2022
Subjects:	Statistics Theory Probability 62G20, 62F15, 60J60
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Nonparametric Bayesian Inference for Stochastic Reaction-Diffusion Equations
by: Altmeyer, Randolf, et al.
Published: (2025)

Estimation of the invariant measure of a multidimensional diffusion from noisy observations
by: Maillet, Raphaël, et al.
Published: (2024)

Nonparametric estimation of the stationary density for Hawkes-diffusion systems with known and unknown intensity
by: Amorino, Chiara, et al.
Published: (2024)

M-estimation for Gaussian processes with time-inhomogeneous drifts from high-frequency data
by: Shimizu, Yasutaka
Published: (2025)

Nonparametric estimation of the jump rate in mean field interacting systems of neurons
by: Duarte, Aline, et al.
Published: (2025)

Asymptotic properties of parameter estimators in Vasicek model driven by tempered fractional Brownian motion
by: Mishura, Yuliya, et al.
Published: (2024)

Least squares estimation of the transition density in bifurcating Markov models
by: Penda, S. Valère Bitseki
Published: (2025)

Strong maximum a posteriori estimation in Banach spaces with Gaussian priors
by: Lambley, Hefin
Published: (2023)

Tests for the mean of high-dimensional data
by: Ferger, Dietmar
Published: (2026)

Strong Convergence of Peaks Over a Threshold
by: Padoan, Simone A., et al.
Published: (2023)

Nonparametric velocity estimation in stochastic convection-diffusion equations from multiple local measurements
by: Strauch, Claudia, et al.
Published: (2024)

Detecting practically significant dependencies in metric spaces via distance correlations
by: Dette, Holger, et al.
Published: (2024)

Mixing convergence of LSE for supercritical AR(2) processes with Gaussian innovations using random scaling
by: Barczy, Matyas, et al.
Published: (2021)

Moderate deviation principle for the chi-square statistics
by: Yu, Zhenhong, et al.
Published: (2025)

The central limit theorem for sum-functions of m-tuples of spacings
by: Mirakhmedov, Sherzod M.
Published: (2024)

Asymptotic Normality of Chatterjee's Rank Correlation
by: Kroll, Marius
Published: (2024)

Scaled quadratic variation for controlled rough paths and parameter estimation of fractional diffusions
by: Leahy, James-Michael, et al.
Published: (2024)

Bayesian Mixtures Models with Repulsive and Attractive Atoms
by: Beraha, Mario, et al.
Published: (2023)

Statistical inference for rough volatility: Central limit theorems
by: Chong, Carsten, et al.
Published: (2022)

Nonparametric estimation of trawl processes: Theory and applications
by: Sauri, Orimar, et al.
Published: (2022)

Efficient Concentration with Gaussian Approximation
by: Austern, Morgane, et al.
Published: (2022)

Optimal parameter estimation for linear SPDEs from multiple measurements
by: Altmeyer, Randolf, et al.
Published: (2022)

Parameter estimation for the stochastic heat equation with multiplicative noise from local measurements
by: Janák, Josef, et al.
Published: (2023)

Hawkes autoregressive processes: a new model for multiscale and heterogeneous processes
by: Leblanc, Théo
Published: (2025)

Modified weighted power variations of the Hermite process and applications to integrated volatility
by: Ayache, Antoine, et al.
Published: (2026)

On the maximal correlation of some stochastic processes
by: Chang, Yinshan, et al.
Published: (2024)

Random time-shift approximation enables hierarchical Bayesian inference of mechanistic within-host viral dynamics models on large datasets
by: Morris, Dylan J., et al.
Published: (2025)

Parametric Estimation of Tempered Stable Laws
by: Massing, Till
Published: (2023)

Meta-Posterior Consistency for the Bayesian Inference of Metastable System
by: Adams, Zachary P, et al.
Published: (2024)

Nonparametric Inference for Noise Covariance Kernels in Parabolic SPDEs using Space-Time Infill-Asymptotics
by: Petersson, Andreas, et al.
Published: (2025)

Optimal low-rank approximations for linear Gaussian inverse problems on Hilbert spaces, Part I: posterior covariance approximation
by: Carere, Giuseppe, et al.
Published: (2025)

Large parameter asymptotic analysis for homogeneous normalized random measures with independent increments
by: Zhang, Junxi, et al.
Published: (2024)

Cluster size distributions of discrete random fields
by: Cheng, Dan, et al.
Published: (2026)

A Bayesian sequential soft classification problem for a Brownian motion's drift
by: Campbell, Steven, et al.
Published: (2025)

Conditioning of Banach Space Valued Gaussian Random Variables: An Approximation Approach Based on Martingales
by: Steinwart, Ingo
Published: (2024)

Exact and asymptotic distribution theory for the empirical correlation of two AR(1) processes with Gaussian increments
by: Ernst, Philip A., et al.
Published: (2023)

Moderate deviation principle for plug-in estimators of diversity indices on countable alphabets
by: Yu, Zhenhong, et al.
Published: (2025)

Second Maximum of a Gaussian Random Field and Exact (t-)Spacing test
by: Azaïs, Jean-Marc, et al.
Published: (2024)

The SIML method without microstructure noise
by: Akahori, Jirô, et al.
Published: (2023)

The roughness exponent and its model-free estimation
by: Han, Xiyue, et al.
Published: (2021)