Consistency of Bayesian nonparametric inference for discretely observed jump diffusions
Statistics Theory
2019-08-13 v4 Probability
Statistics Theory
Abstract
We introduce verifiable criteria for weak posterior consistency of identifiable Bayesian nonparametric inference for jump diffusions with unit diffusion coefficient and uniformly Lipschitz drift and jump coefficients in arbitrary dimension. The criteria are expressed in terms of coefficients of the SDEs describing the process, and do not depend on intractable quantities such as transition densities. We also show that products of discrete net and Dirichlet mixture model priors satisfy our conditions, again under an identifiability assumption. This generalises known results by incorporating jumps into previous work on unit diffusions with uniformly Lipschitz drift coefficients.
Cite
@article{arxiv.1506.04709,
title = {Consistency of Bayesian nonparametric inference for discretely observed jump diffusions},
author = {Jere Koskela and Dario Spano and Paul A. Jenkins},
journal= {arXiv preprint arXiv:1506.04709},
year = {2019}
}
Comments
20 pages