4 papers · 1 filter
Score-Based Martingale Posteriors for Deep Neural Networks
Abylay Zhumekenov, Ajay Jasra, Mohamed Maama +1
In this paper we investigate the efficacy of the score-based martingale posteriors (SMP) (Cui & Walker, 2025; Fong et al., 2023) in the context of modern and large-scale machine le…
Martingale Posteriors for Discretely Observed Diffusions
Jingning Yao, Ajay Jasra, Sheng Jiang
In this paper we consider parameter estimation for discretely observed diffusion processes. In particular, we focus on data that are observed at low frequency and methodology that…
Bayesian Parameter Estimation for Partially Observed McKean-Vlasov Diffusions Using Multilevel Markov chain Monte Carlo
Ajay Jasra, Amin Wu
In this article we consider Bayesian estimation of static parameters for a class of partially observed McKean-Vlasov diffusion processes with discrete-time observations over a fixe…
Modeling of Measurement Error in Financial Returns Data
Ajay Jasra, Mohamed Maama, Aleksandar Mijatović
In this paper we consider the modeling of measurement error for fund returns data. In particular, given access to a time-series of discretely observed log-returns and the associate…