Nonparametric Bayesian methods for one-dimensional diffusion models

In this paper we review recently developed methods for nonparametric Bayesian inference for one-dimensional diffusion models. We discuss different possible prior distributions, computational issues, and asymptotic results

Full adaptation to smoothness using randomly truncated series priors with Gaussian coefficients and inverse gamma scaling

We study random series priors for estimating a functional parameter (f\in L^2[0,1]). We show that with a series prior with random truncation, Gaussian coefficients, and inverse gamma multiplicative scaling, it is possible to achieve posterior contraction at optimal rates and adaptation to arbitrary degrees of smoothness. We present general results that can be combined with existing rate of contraction results for various nonparametric estimation problems. We give concrete examples for signal estimation in white noise and drift estimation for a one-dimensional SDE

Gaussian process methods for one-dimensional diffusions: optimal rates and adaptation

We study the performance of nonparametric Bayes procedures for one-dimensional diffusions with periodic drift. We improve existing convergence rate results for Gaussian process (GP) priors with fixed hyper parameters. Moreover, we exhibit several possibilities to achieve adaptation to smoothness. We achieve this by considering hierarchical procedures that involve either a prior on a multiplicative scaling parameter, or a prior on the regularity parameter of the GP

Minimax lower bounds for function estimation on graphs

We study minimax lower bounds for function estimation problems on large graph when the target function is smoothly varying over the graph. We derive minimax rates in the context of regression and classification problems on graphs that satisfy an asymptotic shape assumption and with a smoothness condition on the target function, both formulated in terms of the graph Laplacian

Optimality of Poisson processes intensity learning with Gaussian processes

In this paper we provide theoretical support for the so-called "Sigmoidal Gaussian Cox Process" approach to learning the intensity of an inhomogeneous Poisson process on a $d$-dimensional domain. This method was proposed by Adams, Murray and MacKay (ICML, 2009), who developed a tractable computational approach and showed in simulation and real data experiments that it can work quite satisfactorily. The results presented in the present paper provide theoretical underpinning of the method. In particular, we show how to tune the priors on the hyper parameters of the model in order for the procedure to automatically adapt to the degree of smoothness of the unknown intensity and to achieve optimal convergence rates

Krein's spectral theory and the Paley-Wiener expansion for fractional Brownian motion

In this paper we develop the spectral theory of the fractional Brownian motion (fBm) using the ideas of Krein's work on continuous analogous of orthogonal polynomials on the unit circle. We exhibit the functions which are orthogonal with respect to the spectral measure of the fBm and obtain an explicit reproducing kernel in the frequency domain. We use these results to derive an extension of the classical Paley-Wiener expansion of the ordinary Brownian motion to the fractional case.Comment: Published at http://dx.doi.org/10.1214/009117904000000955 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

Consistent nonparametric Bayesian inference for discretely observed scalar diffusions

We study Bayes procedures for the problem of nonparametric drift estimation for one-dimensional, ergodic diffusion models from discrete-time, low-frequency data. We give conditions for posterior consistency and verify these conditions for concrete priors, including priors based on wavelet expansions.Comment: Published in at http://dx.doi.org/10.3150/11-BEJ385 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Donsker theorems for diffusions: Necessary and sufficient conditions

We consider the empirical process G_t of a one-dimensional diffusion with finite speed measure, indexed by a collection of functions F. By the central limit theorem for diffusions, the finite-dimensional distributions of G_t converge weakly to those of a zero-mean Gaussian random process G. We prove that the weak convergence G_t\Rightarrow G takes place in \ell^{\infty}(F) if and only if the limit G exists as a tight, Borel measurable map. The proof relies on majorizing measure techniques for continuous martingales. Applications include the weak convergence of the local time density estimator and the empirical distribution function on the full state space.Comment: Published at http://dx.doi.org/10.1214/009117905000000152 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

Nonparametric methods for volatility density estimation

Stochastic volatility modelling of financial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparametric methods for estimation of the density of the volatility process. Both models based on discretely sampled continuous time processes and discrete time models will be discussed. The key insight for the analysis is a transformation of the volatility density estimation problem to a deconvolution model for which standard methods exist. Three type of nonparametric density estimators are reviewed: the Fourier-type deconvolution kernel density estimator, a wavelet deconvolution density estimator and a penalized projection estimator. The performance of these estimators will be compared. Key words: stochastic volatility models, deconvolution, density estimation, kernel estimator, wavelets, minimum contrast estimation, mixin