57 citations · 235 across the 17 of their papers we have counts for
5 papers · 1 filter
A piecewise deterministic Monte Carlo method for diffusion bridges
Joris Bierkens, Sebastiano Grazzi, Frank van der Meulen +1
We introduce the use of the Zig-Zag sampler to the problem of sampling conditional diffusion processes (diffusion bridges). The Zig-Zag sampler is a rejection-free sampling scheme…
Decompounding discrete distributions: A non-parametric Bayesian approach
Shota Gugushvili, Ester Mariucci, Frank van der Meulen
Suppose that a compound Poisson process is observed discretely in time and assume that its jump distribution is supported on the set of natural numbers. In this paper we propose a…
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…
Consistent nonparametric Bayesian inference for discretely observed scalar diffusions
Frank van der Meulen, Harry van Zanten
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…
Estimating a concave distribution function from data corrupted with additive noise
Geurt Jongbloed, Frank H. van der Meulen
We consider two nonparametric procedures for estimating a concave distribution function based on data corrupted with additive noise generated by a bounded decreasing density on $(0…