Consistent non-parametric bayesian estimation for a time-inhomogeneous brownian motion

Shota Gugushvili; Peter Spreij

ESAIM: Probability and Statistics (2014)

  • Volume: 18, page 332-341
  • ISSN: 1292-8100

Abstract

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

How to cite

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Gugushvili, Shota, and Spreij, Peter. "Consistent non-parametric bayesian estimation for a time-inhomogeneous brownian motion." ESAIM: Probability and Statistics 18 (2014): 332-341. <http://eudml.org/doc/273643>.

@article{Gugushvili2014,
abstract = {We establish posterior consistency for non-parametric Bayesian estimation of the dispersion coefficient of a time-inhomogeneous Brownian motion.},
author = {Gugushvili, Shota, Spreij, Peter},
journal = {ESAIM: Probability and Statistics},
keywords = {dispersion coefficient; non-parametric bayesian estimation; posterior consistency; time-inhomogeneous brownian motion; nonparametric Bayesian estimation; time-inhomogeneous Brownian motion},
language = {eng},
pages = {332-341},
publisher = {EDP-Sciences},
title = {Consistent non-parametric bayesian estimation for a time-inhomogeneous brownian motion},
url = {http://eudml.org/doc/273643},
volume = {18},
year = {2014},
}

TY - JOUR
AU - Gugushvili, Shota
AU - Spreij, Peter
TI - Consistent non-parametric bayesian estimation for a time-inhomogeneous brownian motion
JO - ESAIM: Probability and Statistics
PY - 2014
PB - EDP-Sciences
VL - 18
SP - 332
EP - 341
AB - We establish posterior consistency for non-parametric Bayesian estimation of the dispersion coefficient of a time-inhomogeneous Brownian motion.
LA - eng
KW - dispersion coefficient; non-parametric bayesian estimation; posterior consistency; time-inhomogeneous brownian motion; nonparametric Bayesian estimation; time-inhomogeneous Brownian motion
UR - http://eudml.org/doc/273643
ER -

References

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