57 citations · 224 across the 9 of their papers we have counts for
3 papers · 1 filter
Guided proposals for simulating multi-dimensional diffusion bridges
Moritz Schauer, Frank van der Meulen, Harry van Zanten
A Monte Carlo method for simulating a multi-dimensional diffusion process conditioned on hitting a fixed point at a fixed future time is developed. Proposals for such diffusion bri…
Optimal two-stage procedures for estimating location and size of the maximum of a multivariate regression function
Eduard Belitser, Subhashis Ghosal, Harry van Zanten
We propose a two-stage procedure for estimating the location $\boldsμ$ and size M of the maximum of a smooth d-variate regression function f. In the first stage, a preliminary esti…
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…