32 citations · 34 across the 6 of their papers we have counts for
4 papers · 1 filter
Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices
Mai Ngoc Bui, Yvo Pokern, Petros Dellaportas
We construct a generalization of the Ornstein-Uhlenbeck processes on the cone of covariance matrices endowed with the Log-Euclidean and the Affine-Invariant metrics. Our developmen…
Characteristic and Necessary Minutiae in Fingerprints
Johannes Wieditz, Yvo Pokern, Dominic Schuhmacher +1
Fingerprints feature a ridge pattern with moderately varying ridge frequency (RF), following an orientation field (OF), which usually features some singularities. Additionally at s…
Posterior Consistency via Precision Operators for Bayesian Nonparametric Drift Estimation in SDEs
Y. Pokern, A. M. Stuart, J. H. van Zanten
We study a Bayesian approach to nonparametric estimation of the periodic drift function of a one-dimensional diffusion from continuous-time data. Rewriting the likelihood in terms…
Parameter Estimation for Partially Observed Hypoelliptic Diffusions
Y. Pokern, A. M. Stuart, P. Wiberg
Hypoelliptic diffusion processes can be used to model a variety of phenomena in applications ranging from molecular dynamics to audio signal analysis. We study parameter estimation…