3 citations · 11 across the 5 of their papers we have counts for
5 papers
Score matching for bridges without learning time-reversals
Elizabeth L. Baker, Moritz Schauer, Stefan Sommer
We propose a new algorithm for learning bridged diffusion processes using score-matching methods. Our method relies on reversing the dynamics of the forward process and using this…
Simulating conditioned diffusions on manifolds
Marc Corstanje, Frank van der Meulen, Moritz Schauer +1
To date, most methods for simulating conditioned diffusions are limited to the Euclidean setting. The conditioned process can be constructed using a change of measure known as Doob…
Bayesian wavelet de-noising with the caravan prior
Shota Gugushvili, Frank van der Meulen, Moritz Schauer +1
According to both domain expert knowledge and empirical evidence, wavelet coefficients of real signals tend to exhibit clustering patterns, in that they contain connected regions o…
Fast and scalable non-parametric Bayesian inference for Poisson point processes
Shota Gugushvili, Frank van der Meulen, Moritz Schauer +1
We study the problem of non-parametric Bayesian estimation of the intensity function of a Poisson point process. The observations are independent realisations of a Poisson poin…
Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
Shota Gugushvili, Frank van der Meulen, Moritz Schauer +1
We consider a nonparametric Bayesian approach to estimate the diffusion coefficient of a stochastic differential equation given discrete time observations over a fixed time interva…