Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion

DOI10.1051/PS/2013039zbMath1305.62192arXiv1304.6536OpenAlexW3101850530MaRDI QIDQ5174357

Shota Gugushvili, Peter Spreij

Publication date: 17 February 2015

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.6536

zbMATH Keywords

dispersion coefficientposterior consistencynonparametric Bayesian estimationtime-inhomogeneous Brownian motion

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65)

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