Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation
Statistics Theory
2018-04-17 v1 Statistics Theory
Abstract
We derive the posteror contraction rate for non-parametric Bayesian estimation of a deterministic dispersion coefficient of a linear stochastic differential equation.
Keywords
Cite
@article{arxiv.1409.2767,
title = {Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation},
author = {Shota Gugushvili and Peter Spreij},
journal= {arXiv preprint arXiv:1409.2767},
year = {2018}
}
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11 pages