% articles: published. @article{Gugushvili2020, doi = {10.1214/19-bjps433}, url = {https://doi.org/10.1214/19-bjps433}, year = {2020}, month = aug, publisher = {Institute of Mathematical Statistics}, volume = {34}, number = {3}, pages = {537--579}, author = {Shota Gugushvili and Frank van der Meulen and Moritz Schauer and Peter Spreij}, title = {Nonparametric Bayesian estimation of a H\"{o}lder continuous diffusion coefficient}, journal = {Brazilian Journal of Probability and Statistics} } @article{Bierkens2020, title={Simulation of elliptic and hypo-elliptic conditional diffusions}, volume={52}, DOI={10.1017/apr.2019.54}, number={1}, journal={Advances in Applied Probability}, publisher={Cambridge University Press}, author={Bierkens, Joris and van der Meulen, Frank and Schauer, Moritz}, year={2020}, pages={173--212} } @inbook{Gugushvili2019, author="Gugushvili, Shota and van der Meulen, Frank and Schauer, Moritz and Spreij, Peter", editor="de Gier, Jan and Praeger, Cheryl E. and Tao, Terence", title="Nonparametric {B}ayesian volatility estimation", bookTitle="2017 MATRIX Annals", year="2019", publisher="Springer International Publishing", address="Cham", pages="279--302", isbn="978-3-030-04161-8", doi="10.1007/978-3-030-04161-8_19", url="https://doi.org/10.1007/978-3-030-04161-8_19" } @article{Belomestnyetal2019, title={Nonparametric {B}ayesian inference for {G}amma-type {L}{\'e}vy subordinators}, author={Belomestny, Denis and Gugushvili, Shota and Schauer, Moritz and Spreij, Peter}, journal={Communications in Mathematical Sciences}, volume={17}, number={3}, pages={781--816}, year={2019}, publisher={International Press of Boston}, doi = {10.4310/CMS.2019.v17.n3.a8}, url = {http://dx.doi.org/10.4310/CMS.2019.v17.n3.a8} } @article{1706.07449, Author = {Shota Gugushvili and Frank van der Meulen and Moritz Schauer and Peter Spreij}, Title = {Nonparametric Bayesian estimation of a H\"older continuous diffusion coefficient}, Year = {2019}, journal = { Brazilian Journal of Probability and Statistics (forthcoming)} } @article{causal1, title = {Learning the Causal Structure of Copula Models with Latent Variables}, author = {Ruifei Cui and Perry Groot and Moritz Schauer and Tom Heskes}, journal={Proceedings of the 34th Conference on Uncertainty in Artificial Intelligence, UAI 2018}, year = {2018} } @article{vdMeulenSchauer2018, author = "{van der Meulen}, Frank and Schauer, Moritz", title = {Bayesian estimation of incompletely observed diffusions}, journal = {Stochastics}, volume = {90}, number = {5}, pages = {641-662}, year = {2018}, publisher = {Taylor & Francis}, doi = {10.1080/17442508.2017.1381097}, url = {http://www.tandfonline.com/doi/abs/10.1080/17442508.2017.1381097}, } @Article{vdMeulenetal2017, author = "van der Meulen, Frank and Schauer, Moritz and van Waaij, Jan", title="Adaptive nonparametric drift estimation for diffusion processes using Faber--Schauder expansions", journal="Statistical Inference for Stochastic Processes", year="2018", month="Oct", day="01", volume="21", number="3", pages="603--628", issn="1572-9311", doi="10.1007/s11203-017-9163-7", url="https://doi.org/10.1007/s11203-017-9163-7" } @article{vdMeulenetal2014, title = "Reversible jump {MCMC} for nonparametric drift estimation for diffusion processes", journal = "Computational Statistics \& Data Analysis ", volume = "71", pages = "615--632", year = "2014", doi = "http://dx.doi.org/10.1016/j.csda.2013.03.002", author = "{van der Meulen}, Frank and Schauer, Moritz and {van Zanten}, Harry", } @ARTICLE{vdMeulenSchauer2017, AUTHOR = "{van der Meulen}, Frank and Schauer, Moritz", TITLE = "Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals", JOURNAL = "Electron. J. Statist.", FJOURNAL = "Electronic Journal of Statistics", YEAR = {2017}, VOLUME = {11}, NUMBER = {1}, PAGES = {2358--2396}, ISSN = {1935-7524}, DOI = {10.1214/17-EJS1290}, SICI = {1935-7524(2017)11:1<2358:BEODOM>2.0.CO;2-0}, } @article{Schaueretal2017, author = "Schauer, Moritz and {van der Meulen}, Frank and {van Zanten}, Harry", doi = "10.3150/16-BEJ833", fjournal = "Bernoulli", journal = "Bernoulli", number = "4A", pages = "2917--2950", publisher = "Bernoulli Society for Mathematical Statistics and Probability", title = "Guided proposals for simulating multi-dimensional diffusion bridges", url = "http://dx.doi.org/10.3150/16-BEJ833", volume = "23", year = "2017" } @inbook{PelekisSchauer2013, author="Pelekis, Christos and Schauer, Moritz", editor="Alpern, Steve and Fokkink, Robbert and G{\k{a}}sieniec, Leszek and Lindelauf, Roy and Subrahmanian, V.S.", title="Network Coloring and Colored Coin Games", bookTitle="Search Theory: A Game Theoretic Perspective", year="2013", publisher="Springer New York", isbn="978-1-4614-6825-7", } @misc{1804.10222, Author = {Richard C. Kraaij and Moritz Schauer}, Title = {A generator approach to stochastic monotonicity and propagation of order}, Year = {2018}, Eprint = {arXiv:1804.10222}, } @misc{1804.03616, Author = {Shota Gugushvili and Frank van der Meulen and Moritz Schauer and Peter Spreij}, Title = {Fast and scalable non-parametric Bayesian inference for Poisson point processes}, Year = {2018}, Eprint = {arXiv:1804.03616}, } @misc{1805.05606, Author = {Shota Gugushvili and Frank van der Meulen and Moritz Schauer and Peter Spreij}, Title = {Nonparametric Bayesian volatility learning under microstructure noise}, Year = {2018}, Eprint = {arXiv:1805.05606 }, } @misc{1712.03807, Author = {Frank van der Meulen and Moritz Schauer}, Title = {Continuous-discrete smoothing of diffusions}, Year = {2017}, Eprint = {arXiv:1712.03807}, } @misc{1708.04870, Author = {Frank van der Meulen and Moritz Schauer}, Title = {On residual and guided proposals for diffusion bridge simulation}, Year = {2017}, Eprint = {arXiv:1708.04870}, } @misc{moritz_schauer_2018_1241024, author = {Moritz Schauer and Shota Gugushvili}, title = {MicrostructureNoise 0.10.0}, month = sep, year = 2018, doi = {10.5281/zenodo.1408978}, url = {https://doi.org/10.5281/zenodo.1408978} } @misc{gugushvili_shota_2018_1215901, author = {Gugushvili, Shota and van der Meulen, Frank and Schauer, Moritz and Spreij, Peter}, title = {{Fast and scalable non-parametric Bayesian inference for Poisson point processes}}, month = apr, year = 2018, doi = {10.5281/zenodo.1215901}, url = {https://doi.org/10.5281/zenodo.1215901} } @misc{moritz_schauer_2017_1100978, author = {Moritz Schauer}, title = {Bridge 0.9.0}, month = aug, year = 2018, doi = {10.5281/zenodo.1406163}, url = {https://doi.org/10.5281/zenodo.1406163} } @misc{moritz_schauer_2017_1005092, author = {Moritz Schauer}, title = {CausalInference.jl 0.4.0}, month = aug, year = 2018, note = {Julia package}, doi = {10.5281/zenodo.1404190}, url = {https://doi.org/10.5281/zenodo.1404190} }