Nonparametric Bayesian estimation of a Hölder continuous diffusion
coefficient

v1v2v3v4v5 (latest)

Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient

22 June 2017

Frank van der Meulen

ArXiv (abs)PDF HTML

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

5 / 5 papers shown

Title
Nonparametric Bayesian inference for stochastic processes with piecewise constant priors Denis Belomestny Frank van der Meulen Peter Spreij 13 0 0 12 May 2023
Nonparametric Bayesian inference of discretely observed diffusions J. Croix Masoumeh Dashti I. Kiss 9 1 0 09 Apr 2020
Nonparametric Bayesian volatility learning under microstructure noise S. Gugushvili Frank van der Meulen Moritz Schauer Peter Spreij 21 2 0 15 May 2018
Nonparametric Bayesian volatility estimation S. Gugushvili Frank van der Meulen Moritz Schauer Peter Spreij 54 6 0 30 Jan 2018
Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes H. Mai 66 44 0 12 Mar 2014