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Nonparametric Bayesian inference for ergodic diffusions |
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| Authors: | Laura Panzar Harry van Zanten |
| Affiliation: | aORTEC Finance, Orly Plaza, Orlyplein 145c, 1043 DV Amsterdam, The Netherlands;bDepartment of Mathematics, Eindhoven University of Technology, P.O. Box 513, 5600 MB Eindhoven, The Netherlands |
| Abstract: | The problem of nonparametric drift estimation for ergodic diffusions is studied from a Bayesian perspective. In particular, Gaussian process priors are exhibited that yield optimal contraction rates if the drift function belongs to a smoothness class. |
| Keywords: | Nonparametric Bayesian inference Ergodic diffusion Gaussian process prior Rate of posterior contraction |
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