12 citations · 27 across the 9 of their papers we have counts for
5 papers · 1 filter
Nonparametric Bayesian inference for stochastic processes with piecewise constant priors
Denis Belomestny, Frank van der Meulen, Peter Spreij
We present a survey of some of our recent results on Bayesian nonparametric inference for a multitude of stochastic processes. The common feature is that the prior distribution in…
Bayesian estimation of a decreasing density
Geurt Jongbloed, Frank van der Meulen, Lixue Pang
Suppose is a random sample from a bounded and decreasing density on . We are interested in estimating such , with special interest in $f_0(0…
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…
A non-parametric Bayesian approach to decompounding from high frequency data
Shota Gugushvili, Frank van der Meulen, Peter Spreij
Given a sample from a discretely observed compound Poisson process, we consider non-parametric estimation of the density of its jump sizes, as well as of its intensity …
Nonparametric Bayesian inference for multidimensional compound Poisson processes
Shota Gugushvili, Frank van der Meulen, Peter Spreij
Given a sample from a discretely observed multidimensional compound Poisson process, we study the problem of nonparametric estimation of its jump size density and intensity $…