Nonparametric Bayesian inference for stochastic processes with piecewise constant priors
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| Publication date | 02-06-2024 |
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| Book title | 2021-2022 MATRIX Annals |
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| Series | Matrix Book Series |
| Volume | Issue number | 5 |
| Pages (from-to) | 527-568 |
| Publisher | Cham: Springer |
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| Abstract | 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 the cases considered is on suitable sets of piecewise constant or piecewise linear functions, that differ for the specific situations at hand. Posterior consistency and in most cases contraction rates for the estimators are presented. Numerical studies on simulated and real data accompany the theoretical results. |
| Document type | Chapter |
| Language | English |
| Published at |
https://doi.org/10.1007/978-3-031-47417-0_28
(Final published version)
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Nonparametric Bayesian inference for stochastic processes with piecewise constant priors
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