On classical and Bayesian asymptotics in state space stochastic differential equations

DOI10.1214/19-BJPS439zbMath1448.60125arXiv1507.06128MaRDI QIDQ783279

Trisha Maitra, Sourabh Bhattacharya

Publication date: 12 August 2020

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

Full work available at URL: https://arxiv.org/abs/1507.06128

zbMATH Keywords

asymptotic normalitystochastic stabilityrandom effectsKullback-Leibler divergenceposterior consistencystate space stochastic differential equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Uses Software

• astsa
• MsdeParEst

Cites Work

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