Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion

Abstract

We establish posterior consistency for non-parametric Bayesian estimation of the dispersion coefficient of a time-inhomogeneous Brownian motion.

12 pages

References in corpus (3)

• Rates of contraction of posterior distributions based on Gaussian process priors
• Reversible jump MCMC for nonparametric drift estimation for diffusion processes
• Consistent nonparametric Bayesian inference for discretely observed scalar diffusions

Cited by in corpus (2)

• Nonparametric Bayesian volatility estimation
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient