57 citations · 223 across the 23 of their papers we have counts for
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math.ST2016★ 6 cited
Adaptive nonparametric drift estimation for diffusion processes using Faber-Schauder expansions
Frank van der Meulen, Moritz Schauer, Jan van Waaij
We consider the problem of nonparametric estimation of the drift of a continuously observed one-dimensional diffusion with periodic drift. Motivated by computational considerations…
stat.ME2016★ 10 cited
Bayesian estimation of incompletely observed diffusions
Frank van der Meulen, Moritz Schauer
We present a general framework for Bayesian estimation of incompletely observed multivariate diffusion processes. Observations are assumed to be discrete in time, noisy and incompl…