Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion
Statistics Theory
2018-04-17 v1 Statistics Theory
Abstract
We establish posterior consistency for non-parametric Bayesian estimation of the dispersion coefficient of a time-inhomogeneous Brownian motion.
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Cite
@article{arxiv.1304.6536,
title = {Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion},
author = {Shota Gugushvili and Peter Spreij},
journal= {arXiv preprint arXiv:1304.6536},
year = {2018}
}
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12 pages