36 citations · 57 across the 5 of their papers we have counts for
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stat.CO2017★ 21 cited
Continuous-discrete smoothing of diffusions
Marcin Mider, Moritz Schauer, Frank van der Meulen
Suppose X is a multivariate diffusion process that is observed discretely in time. At each observation time, a transformation of the state of the process is observed with noise. Th…
stat.CO2012★ 36 cited
Reversible jump MCMC for nonparametric drift estimation for diffusion processes
Frank van der Meulen, Moritz Schauer, Harry van Zanten
In the context of nonparametric Bayesian estimation a Markov chain Monte Carlo algorithm is devised and implemented to sample from the posterior distribution of the drift function…