Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation
| Authors | |
|---|---|
| Publication date | 2016 |
| Journal | ESAIM-Probability and Statistics |
| Volume | Issue number | 20 |
| Pages (from-to) | 143-153 |
| Organisations |
|
| Abstract |
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. |
| Document type | Article |
| Language | English |
| Published at |
https://doi.org/10.1051/ps/2016008
(Final published version)
|
| Permalink to this page | |
