- Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation
- ESAIM-Probability and Statistics
- Pages (from-to)
- Document type
- Faculty of Science (FNWI)
- Korteweg-de Vries Institute for Mathematics (KdVI)
- We consider the problem of non-parametric estimation of the deterministic dispersion coefficient of a linear stochastic differential
equation based on discrete time observations on its solution. We take a Bayesian approach to the problem and under suitable
regularity assumptions derive the posteror contraction rate. This rate turns out to be the optimal posterior contraction rate.
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