Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion

DOI10.1051/PS/2013039MaRDI QIDQ5174357zbMATH OpenOpenAlexFDO

Authors Shota Gugushvili, Peter Spreij

Publication date 17 February 2015

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1304.6536

zbMATH Keywords

dispersion coefficientnonparametric Bayesian estimationposterior consistencytime-inhomogeneous Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Bayesian inference (62F15) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

Abstract: We establish posterior consistency for non-parametric Bayesian estimation of the dispersion coefficient of a time-inhomogeneous Brownian motion.

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(4)

• A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
• Consistency of Bayesian nonparametric inference for discretely observed jump diffusions
• Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient

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