Volume 18, 2014
|Page(s)||332 - 341|
|Published online||03 October 2014|
Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion∗
1 Mathematical Institute, Leiden University, P.O. Box 9512,
2300 RA Leiden, The Netherlands
2 Korteweg-de Vries Institute for Mathematics, University of Amsterdam, P.O. Box 94248, 1090 GE Amsterdam, The Netherlands
Revised: 23 April 2013
We establish posterior consistency for non-parametric Bayesian estimation of the dispersion coefficient of a time-inhomogeneous Brownian motion.
Mathematics Subject Classification: 62G20 / 62M05
Key words: Dispersion coefficient / non-parametric Bayesian estimation / posterior consistency / time-inhomogeneous brownian motion
© EDP Sciences, SMAI 2014
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