Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation

DOI10.1051/ps/2016008zbMath1357.62200arXiv1409.2767OpenAlexW1589196676WikidataQ115334246 ScholiaQ115334246MaRDI QIDQ2954229

Peter Spreij, Shota Gugushvili

Publication date: 12 January 2017

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

Full work available at URL: https://arxiv.org/abs/1409.2767

zbMATH Keywords

stochastic differential equationdispersion coefficientposterior contraction ratenon-parametric Bayesian estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient

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