Consistent nonparametric Bayesian inference for discretely observed scalar diffusions
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| Publication date | 02-2013 |
| Journal | Bernoulli |
| Volume | Issue number | 19 | 1 |
| Pages (from-to) | 44-63 |
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| Abstract |
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. |
| Document type | Article |
| Language | English |
| Published at | https://doi.org/10.3150/11-BEJ385 |
| Downloads |
Meulen_vZanten_Bernouilli_2013.pdf
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