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We present a Bayesian non-parametric way of inferring stochastic differential equations for both regression tasks and continuous-time dynamical modelling. The work has high emphasis on the stochastic part of the differential equation, also…
Local diffusion coefficients in disordered systems such as spin glass systems and living cells are highly heterogeneous and may change over time. Such a time-dependent and spatially heterogeneous environment results in irreproducibility of…
We discuss nonparametric tests for parametric specifications of regression quantiles. The test is based on the comparison of parametric and nonparametric fits of these quantiles. The nonparametric fit is a Nadaraya-Watson quantile smoothing…
We consider a nonparametric Bayesian approach to estimate the diffusion coefficient of a stochastic differential equation given discrete time observations over a fixed time interval. As a prior on the diffusion coefficient, we employ a…
In molecular dynamics simulations in the NPT ensemble at constant pressure, the size and shape of the periodic simulation box fluctuate with time. For particle images far from the origin, the rescaling of the box by the barostat results in…
This study proposes a debiasing method for smooth nonparametric estimators. While machine learning techniques such as random forests and neural networks have demonstrated strong predictive performance, their theoretical properties remain…
Partially-observed data collected by sampling methods is often being studied to obtain the characteristics of information diffusion networks. However, these methods usually do not consider the behavior of diffusion process. In this paper,…
This article studies a trimmed version of the Nadaraya-Watson estimator to estimate the unknown non-parametric regression function. The characterization of the estimator through minimization problem is established, and its pointwise…
We present a general framework for Bayesian estimation of incompletely observed multivariate diffusion processes. Observations are assumed to be discrete in time, noisy and incomplete. We assume the drift and diffusion coefficient depend on…
In this article we consider the estimation of static parameters for partially observed diffusion processes with discrete-time observations over a fixed time interval. In particular, when one only has access to time-discretized solutions of…
We investigate the asymptotic behavior of the Nadaraya-Watson estimator for the estimation of the regression function in a semiparametric regression model. On the one hand, we make use of the recursive version of the sliced inverse…
We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift and diffusion parameters from discrete observations of the…
The nonparametric estimation of the volatility and the drift coefficient of a scalar diffusion is studied when the process is observed at random time points. The constructed estimator generalizes the spectral method by Gobet, Hoffmann and…
Diffusion models deliver high-fidelity synthesis but remain slow due to iterative sampling. We empirically observe there exists feature invariance in deterministic sampling, and present InvarDiff, a training-free acceleration method that…
We introduce a new class of nonparametric prior distributions on the space of continuously varying densities, induced by Dirichlet process mixtures which diffuse in time. These select time-indexed random functions without jumps, whose…
Many spatial processes exhibit nonstationary features. We estimate a variance function from a single process observation where the errors are nonstationary and correlated. We propose a difference-based approach for a one-dimensional…
Diffusion tensor imaging provides important information on tissue structure and orientation of fiber tracts in brain white matter in vivo. It results in diffusion tensors, which are $3\times3$ symmetric positive definite (SPD) matrices,…
By means of rather general arguments, based on an approach due to Derrida that makes use of samples of finite size, we analyse the effective diffusivity and drift tensors in certain types of random medium in which the motion of the…
We propose a modified weighted Nadaraya-Watson estimator for the conditional distribution of a time series with heavy tails. We establish the asymptotic normality of the proposed estimator. Simulation study is carried out to assess the…
Neural diffusion processes provide a scalable, non-Gaussian approach to modelling distributions over functions, but existing formulations are limited to single-task inference and do not capture dependencies across related tasks. In many…