We establish posterior consistency for non-parametric Bayesian estimation of the dispersion coefficient of a time-inhomogeneous Brownian motion.
Keywords: dispersion coefficient, non-parametric bayesian estimation, posterior consistency, time-inhomogeneous brownian motion
@article{PS_2014__18__332_0,
author = {Gugushvili, Shota and Spreij, Peter},
title = {Consistent non-parametric bayesian estimation for a time-inhomogeneous brownian motion},
journal = {ESAIM: Probability and Statistics},
pages = {332--341},
year = {2014},
publisher = {EDP Sciences},
volume = {18},
doi = {10.1051/ps/2013039},
language = {en},
url = {https://www.numdam.org/articles/10.1051/ps/2013039/}
}
TY - JOUR AU - Gugushvili, Shota AU - Spreij, Peter TI - Consistent non-parametric bayesian estimation for a time-inhomogeneous brownian motion JO - ESAIM: Probability and Statistics PY - 2014 SP - 332 EP - 341 VL - 18 PB - EDP Sciences UR - https://www.numdam.org/articles/10.1051/ps/2013039/ DO - 10.1051/ps/2013039 LA - en ID - PS_2014__18__332_0 ER -
%0 Journal Article %A Gugushvili, Shota %A Spreij, Peter %T Consistent non-parametric bayesian estimation for a time-inhomogeneous brownian motion %J ESAIM: Probability and Statistics %D 2014 %P 332-341 %V 18 %I EDP Sciences %U https://www.numdam.org/articles/10.1051/ps/2013039/ %R 10.1051/ps/2013039 %G en %F PS_2014__18__332_0
Gugushvili, Shota; Spreij, Peter. Consistent non-parametric bayesian estimation for a time-inhomogeneous brownian motion. ESAIM: Probability and Statistics, Tome 18 (2014), pp. 332-341. doi: 10.1051/ps/2013039
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