Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
Artikel i vetenskaplig tidskrift, 2020

We consider a nonparametric Bayesian approach to estimate the diffusion coefficient of a stochastic differential equation given discrete time observations over a fixed time interval. As a prior on the diffusion coefficient, we employ a histogram-type prior with piecewise constant realisations on bins forming a partition of the time interval. Specifically, these constants are realizations of independent inverse Gamma distributed randoma variables. We justify our approach by deriving the rate at which the corresponding posterior distribution asymptotically concentrates around the data-generating diffusion coefficient. This posterior contraction rate turns out to be optimal for estimation of a Hölder-continuous diffusion coefficient with smoothness parameter 0<λ≤1. Our approach is straightforward to implement, as the posterior distributions turn out to be inverse Gamma again, and leads to good practical results in a wide range of simulation examples. Finally, we apply our method on exchange rate data sets.

non-parametric Bayesian estimation

posterior contraction rate

Diffusion coefficient

volatility

Gaussian likelihood

stochastic differential equation

Författare

Frank van der Meulen

Shota Gugushvili

Moritz Schauer

Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik

Peter Spreij

Brazilian Journal of Probability and Statistics

0103-0752 (ISSN)

Vol. 34 3 537-579

Fundament

Grundläggande vetenskaper

Ämneskategorier

Sannolikhetsteori och statistik

DOI

10.1214/19-BJPS433

Mer information

Skapat

2020-12-07