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most citedNonnegative Matrix Factorization and I-Divergence Alternating Minimization

70 citations · 474 across the 46 of their papers we have counts for

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math.ST2020★ 3 cited

Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations

Denis Belomestny, Shota Gugushvili, Moritz Schauer +1

We study a nonparametric Bayesian approach to estimation of the volatility function of a stochastic differential equation driven by a gamma process. The volatility function is mode…