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

Published online by Cambridge University Press:  03 October 2014

Shota Gugushvili  and
Peter Spreij
Shota Gugushvili
Affiliation:
Mathematical Institute, Leiden University, P.O. Box 9512, 2300 RA Leiden, The Netherlands. shota.gugushvili@math.leidenuniv.nl
Peter Spreij
Affiliation:
Korteweg-de Vries Institute for Mathematics, University of Amsterdam, P.O. Box 94248, 1090 GE Amsterdam, The Netherlands; spreij@uva.nl
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Abstract

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

Keywords

Dispersion coefficientnon-parametric Bayesian estimationposterior consistencytime-inhomogeneous brownian motion
Type
Research Article
Information
ESAIM: Probability and Statistics , Volume 18 , 2014 , pp. 332 - 341
Copyright
© EDP Sciences, SMAI 2014

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