NONPARAMETRIC BAYESIAN POSTERIOR CONTRACTION RATES FOR DISCRETELY OBSERVED SCALAR DIFFUSIONS

• 成果类型: Article
• 署名作者: Nickl, Richard; Soehl, Jakob
• 署名单位: University of Cambridge
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/16-AOS1504
• 发表日期: 2017
• 页码: 1664-1693
• 关键词: CONVERGENCE-RATES; drift estimation; Inverse problems; distributions; inference; INEQUALITY; suprema

摘要

We consider nonparametric Bayesian inference in a reflected diffusion model dX(t) = b(X-t) dt + sigma(Xt) dW(t), with discretely sampled observations X-0, X-Delta , . . . , X-n Delta. We analyse the nonlinear inverse problem corresponding to the low frequency sampling regime where Delta > 0 is fixed and n -> infinity. A general theorem is proved that gives conditions for prior distributions Pi on the diffusion coefficient sigma and the drift function b that ensure minimax optimal contraction rates of the posterior distribution over Holder-Sobolev smoothness classes. These conditions are verified for natural examples of nonparametric random wavelet series priors. For the proofs, we derive new concentration inequalities for empirical processes arising from discretely observed diffusions that are of independent interest.