- Consistent nonparametric Bayesian inference for discretely observed scalar diffusions
- Volume | Issue number
- 19 | 1
- Pages (from-to)
- Document type
- Faculty of Science (FNWI)
- Korteweg-de Vries Institute for Mathematics (KdVI)
- We study Bayes procedures for the problem of nonparametric drift estimation for one-dimensional, ergodic diffusion models
from discrete-time, low-frequency data. We give conditions for posterior consistency and verify these conditions for concrete
priors, including priors based on wavelet expansions.
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