We study a Bayesian approach to nonparametric estimation of the periodic
drift function of a one-dimensional diffusion from continuous-time data. We
rewrite the likelihood in terms of Riemann integrals, by introducing the local
time of the process, and specify a centered Gaussian prior on the drift with a
precision operator that is of differential form. It is proved that this is a
conjugate prior for the likelihood and hence that the posterior is also
Gaussian.
The posterior distribution in a nonparametric inverse problem is shown to
contract to the true parameter at a rate that depends on the smoothness of the
parameter, and the smoothness and scale of the prior. Correct combinations of
these characteristics lead to the minimax rate. The frequentist coverage of
credible sets is shown to depend on the combination of prior and true
parameter, with smoother priors leading to zero coverage and rougher priors to
conservative coverage. In the latter case credible sets are of the correct
order of magnitude.
We consider nonparametric Bayesian estimation inference using a rescaled
smooth Gaussian field as a prior for a multidimensional function. The rescaling
is achieved using a Gamma variable and the procedure can be viewed as choosing
an inverse Gamma bandwidth. The procedure is studied from a frequentist
perspective in three statistical settings involving replicated observations
(density estimation, regression and classification).