
Sticky PDMP samplers for sparse and local inference problems
We construct a new class of efficient Monte Carlo methods based on conti...
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Automatic Backward Filtering Forward Guiding for Markov processes and graphical models
We incorporate discrete and continuous time Markov processes as building...
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Diffusion bridges for stochastic Hamiltonian systems with applications to shape analysis
Stochastically evolving geometric systems are studied in geometric mecha...
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A piecewise deterministic Monte Carlo method for diffusion bridges
We introduce the use of the ZigZag sampler to the problem of sampling o...
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Bayesian nonparametric estimation in the current status continuous mark model
In this paper we consider the current status continuous mark model where...
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Nonparametric Bayesian estimation of a concave distribution function with mixed interval censored data
Assume we observe a finite number of inspection times together with info...
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Decompounding discrete distributions: A nonparametric Bayesian approach
Suppose that a compound Poisson process is observed discretely in time a...
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Bayesian wavelet denoising with the caravan prior
According to both domain expertise knowledge and empirical evidence, wav...
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Simulation of elliptic and hypoelliptic conditional diffusions
Suppose X is a multidimensional diffusion process. Assume that at time z...
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Nonparametric Bayesian volatility learning under microstructure noise
Aiming at financial applications, we study the problem of learning the v...
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Fast and scalable nonparametric Bayesian inference for Poisson point processes
We study the problem of nonparametric Bayesian estimation of the intens...
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Nonparametric Bayesian volatility estimation
Given discrete time observations over a fixed time interval, we study a ...
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Bayesian estimation of a decreasing density
Suppose X_1,..., X_n is a random sample from a bounded and decreasing de...
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Continuousdiscrete smoothing of diffusions
Suppose X is a multivariate diffusion process that is observed discretel...
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On residual and guided proposals for diffusion bridge simulation
Recently Whitaker et al. (2017) considered Bayesian estimation of diffus...
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Frank van der Meulen
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