Shota Gugushvili
8 records found
1
Authored
We obtain rates of contraction of posterior distributions in inverse problems with discrete observations. In a general setting of smoothness scales we derive abstract results for general priors, with contraction rates determined by discrete Galerkin approximation. The rate dep ...
In this work, we study the problem of learning the volatility under market microstructure noise. Specifically, we consider noisy discrete time observations from a stochastic differential equation and develop a novel computational method to learn the diffusion coefficient of th ...
Decompounding discrete distributions
A nonparametric Bayesian approach
Suppose that a compound Poisson process is observed discretely in time and assume that its jump distribution is supported on the set of natural numbers. In this paper we propose a nonparametric Bayesian approach to estimate the intensity of the underlying Poisson process and t ...