Strong Consistency of Bayesian Estimator Under Discrete Observations and Unknown Transition Density

DOI10.1007/978-3-0348-0097-6_10zbMath1255.62067OpenAlexW56436231MaRDI QIDQ2909980

Kazuhiro Yasuda, Nicolas Vayatis, Arturo Kohatsu-Higa

Publication date: 7 September 2012

Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0097-6_10

zbMATH Keywords

discrete observationsBayesian inferencestrong consistency

Mathematics Subject Classification ID

Related Items (1)

Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process

Cites Work

• Euler scheme and tempered distributions
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Approximation of the posterior density for diffusion processes
• Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• The Monte-Carlo method for filtering with discrete-time observations
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