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05/12/2023
Nonparametric Bayesian inference for stochastic processes with piecewise constant priors
We present a survey of some of our recent results on Bayesian nonparamet...
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11/16/2020
Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations
We study a nonparametric Bayesian approach to estimation of the volatili...
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05/21/2019
A Kalman particle filter for online parameter estimation with applications to affine models
In this paper we address the problem of estimating the posterior distrib...
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10/17/2018
Bayesian wavelet de-noising with the caravan prior
According to both domain expertise knowledge and empirical evidence, wav...
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05/15/2018
Nonparametric Bayesian volatility learning under microstructure noise
Aiming at financial applications, we study the problem of learning the v...
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04/30/2018
Nonparametric Bayesian inference for Lévy subordinators
Given discrete time observations over a growing time interval, we consid...
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04/10/2018
Fast and scalable non-parametric Bayesian inference for Poisson point processes
We study the problem of non-parametric Bayesian estimation of the intens...
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01/30/2018