| Issue |
ESAIM: PS
Volume 18, 2014
|
|
|---|---|---|
| Page(s) | 332 - 341 | |
| DOI | https://doi.org/10.1051/ps/2013039 | |
| 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
shota.gugushvili@math.leidenuniv.nl
2 Korteweg-de Vries Institute for Mathematics, University of
Amsterdam, P.O. Box 94248, 1090 GE Amsterdam, The Netherlands
spreij@uva.nl
Received:
8
October
2012
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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