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

2013/04/24 by Shota Gugushvili, Peter Spreij · 5 citations
Chemistry · Economics, Econometrics and Finance · Mathematics · #Bayes estimator #Bayesian probability #Brownian motion #Consistency (knowledge bases) #Dispersion (optics) #Estimation #Fractional Brownian motion #Markov Chains and Monte Carlo Methods #Reflected Brownian motion #Spectroscopy and Laser Applications #Stochastic processes and financial applications #math.ST #msc:62G20 #msc:62M05 #stat.TH

paper · pdf · doi:10.1051/ps/2013039

published in ESAIM Probability and Statistics 18, 332-341 (EDP Sciences) · 12 pages

arxiv created 2013/04/24 · openalex publication_date 2013/06/06 · openalex created_date 2016/06/24 · arxiv updated 2018/04/17 · openalex updated_date 2026/08/05

Abstract

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

Citations

• Asymptotics, Nonparametrics, and Time Series
• Rates of contraction of posterior distributions based on Gaussian process priors

Cited by

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