Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
Journal article, 2020
posterior contraction rate
stochastic differential equation
Diffusion coefficient
volatility
Gaussian likelihood
non-parametric Bayesian estimation
Author
Shota Gugushvili
Wageningen University and Research
Frank van der Meulen
Delft University of Technology
Moritz Schauer
Leiden University
Peter Spreij
Radboud University
University of Amsterdam
Brazilian Journal of Probability and Statistics
0103-0752 (ISSN)
Vol. 34 3 537-579Roots
Basic sciences
Subject Categories
Probability Theory and Statistics
DOI
10.1214/19-BJPS433