Harry van Zanten - Research

Preprints

Posterior consistency via precision operators for Bayesian nonparametric drift estimation in SDEs (with Yvo Pokern and Andrew Stuart).
Bayesian recovery of the initial condition for the heat equation (with Bartek Knapik and Aad van der Vaart).
Optimal two-stage procedures for estimating location and size of maximum of multivariate regression functions (with Eduard Belitser and Subhashis Ghosal).
Understanding the asymptotic behaviour of empirical Bayes procedures (with Botond Szabó and Aad van der Vaart).
Consistent nonparametric Bayesian inference for discretely observed scalar diffusions (with Frank van der Meulen). To appear in Bernoulli.

Recently published

Bayesian inverse problems with Gaussian priors (with Bartek Knapik and Aad van der Vaart). Annals of Statistics 39(5), 2626-2657, 2011.
Conditional full support of Gaussian processes with stationary increments (with Dario Gasbarra and Tommi Sottinen). Journal of Applied Probability 48(2), 561-568, 2011.
Information Rates of Nonparametric Gaussian Process Methods (with Aad van der Vaart). Journal of Machine Learning Research 12, 2095-2119, 2011.
Nonparametric methods for volatility density estimation (with Bert van Es en Peter Spreij). In: AMaMeF: Advanced Mathematical Methods for Finance, Di Nunno G., Oksendal B. (Eds), Springer, 2011.
On Brownian motion as a prior for nonparametric regression. Statistics and Decisions 27, pp. 335-356, 2009.
Adaptive nonparametric Bayesian inference using location-scale mixture priors (with Rene de Jonge). Annals of Statistics 38(6), pp. 3300-3320, 2010.
Comments on "PCA Based Hurst Exponent Estimator for fBm Signals Under Disturbances" by Li, Hu, Chen and Zhang. IEEE Transactions on Signal Processing 58(8), 4466-4467, 2010.
Small deviations of smooth stationary Gaussian processes (with F. Aurzada, I.A. Ibragimov and M.A. Lifshits). Theory Probab. Appl. 53(4), pp. 697-707, 2009.
Nonparametric Bayesian inference for ergodic diffusions (with Laura Panzar). Journal of Statistical Planning and Inference 139, pp. 4193-4199, 2009.
Adaptive Bayesian estimation using a Gaussian random field with inverse Gamma bandwidth (with Aad van der Vaart). Annals of Statistics 37(5B), pp. 2655-2675, 2009.
Rates of contraction of posterior distributions based on Gaussian process priors (with Aad van der Vaart). Annals of Statistics 36(3), pp. 1435-1463, 2008.

Recent talks

Understanding the asymptotic behaviour of empirical Bayes procedures. 8th BNP 2011, Veracruz.
Lectures given at the YES 4 workshop, Eindhoven, November 8--10, 2010: lecture 1, lecture 2, lecture 3.
Adaptive nonparametric Bayesian inference using location-scale mixture priors. Collegio Carlo Alberto Stochastics Workshop, June 12, 2010.
Bayesian nonparametrics, Gaussian random elements in Banach space, and associated approximation problems. Analysis Colloquium, TU Delft, February 16, 2010.
Consistent nonparametric inference for discretely observed diffusions. Applied Mathematics and Statistics seminar, University of Warwick, January 22, 2010.
Small deviations and Bayesian nonparametrics. Stochastic Processes and their Applications 2009, Berlin.