Adaptive convergence results for numerical efficient Bayesian methods

14.07.2017, 10:15 Uhr  –  Campus Golm, Haus 28, Raum 0.108
SFB-Seminar

Jan van Waaij

Jan van Waaij , Faculteit der Natuurwetenschappen, Wiskunde en Informatica Korteweg-de Vries Instituut, University of Amsterdam, Netherlands

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This is collaborative work with: Moritz Schauer (Leiden University), Frank van der Meulen (Delft University of Technology) and Harry van Zanten (University of Amsterdam).

References:

van der Meulen, F.H., M.R. Schauer, and J. van Waaij (2016). “Adaptive nonparametric drift estimation for diffusion processes using Faber-Schauder expansions”. In: ArXiv e-prints. arXiv: 1612.05124 [math.ST].

van der Meulen, F.H., M.R. Schauer, and J.H. van Zanten (2014). “Reversible jump MCMC for nonparametric drift estimation for diffusion processes”. In: Comput. Statist. Data Anal. 71, pp. 615–632. issn: 0167-9473. doi: 10.1016/j.csda.2013.03.002.