Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion
classification
🧮 math.ST
stat.TH
keywords
bayesianbrownianestimationmotionnon-parametrictime-inhomogeneouscoefficientconsistency
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We establish posterior consistency for non-parametric Bayesian estimation of the dispersion coefficient of a time-inhomogeneous Brownian motion.
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