Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation
| Authors |
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| Publication date |
2016
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| Journal |
ESAIM-Probability and Statistics
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| Volume | Issue number |
20
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| Pages (from-to) |
143-153
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| Organisations |
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Faculty of Science (FNWI) - Korteweg-de Vries Institute for Mathematics (KdVI)
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| 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.
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| Document type |
Article
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| Language |
English
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| Published at |
https://doi.org/10.1051/ps/2016008
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