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SUMMARY:Bayesian non-parametric analysis of diffusions -  Gareth Roberts (
 Warwick)
DTSTART:20110513T133000Z
DTEND:20110513T143000Z
UID:TALK30795@talks.cam.ac.uk
CONTACT:Richard Nickl
DESCRIPTION:This presentation will describe an approach to Bayesian non-pa
 rametric\nanalysis of diffusion drift functions. Gaussian processes can be
  used as\nconjugate priors\, and we describe methodology for characterisin
 g posterior\nmean and covariance structure in terms of solutions to differ
 ential\nequations with coefficients given as functions of the observed dif
 fusion\nlocal time. The talk will mainly cover the continuously observed s
 ample path\ncase\, though recent work on the discretely observed case\, wh
 ere diffusion\ncoefficient estimation is also an important issue\, will al
 so be outlined.\nThis is joint work with Omiros Papaspiliopoulos\, Yvo Pok
 ern and Andrew\nStuart.\n\n\n\nhttp://www2.warwick.ac.uk/fac/sci/statistic
 s/staff/academic-research/roberts/
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
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