Strong consistency of Bayesian estimator under discrete observations and unknown transition density

DOI10.1007/978-3-0348-0097-6_10MaRDI QIDQ2909980zbMATH OpenOpenAlexFDO

Authors Nicolas Vayatis, Kazuhiro Yasuda, Arturo Kohatsu-Higa

Publication date 7 September 2012

Published in Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0097-6_10

zbMATH Keywords

strong consistencyBayesian inferencediscrete observations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15)

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Cites work

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• Euler scheme and tempered distributions
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• Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• The Monte-Carlo method for filtering with discrete-time observations
• Tuning of a Bayesian estimator under discrete time observations and unknown transition density

Cited in

(3)

• Weak and TV consistency in Bayesian uncertainty quantification using disintegration
• Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process
• Tuning of a Bayesian estimator under discrete time observations and unknown transition density

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