Adaptive nonparametric drift estimation for diffusion processes using Faber–Schauder expansions

Journal article, 2018

We consider the problem of nonparametric estimation of the drift of a continuously observed one-dimensional diffusion with periodic drift. Motivated by computational considerations, van der Meulen et al. (Comput Stat Data Anal 71:615–632, 2014) defined a prior on the drift as a randomly truncated and randomly scaled Faber–Schauder series expansion with Gaussian coefficients. We study the behaviour of the posterior obtained from this prior from a frequentist asymptotic point of view. If the true data generating drift is smooth, it is proved that the posterior is adaptive with posterior contraction rates for the L2-norm that are optimal up to a log factor. Contraction rates in Lp-norms with p∈ (2 , ∞] are derived as well.