We consider the problem of non-parametric estimation of the deterministic dispersion coefficient of a linear stochastic differential equation based on discrete time observations on its solution. We take a Bayesian approach to the problem and under suitable regularity assumptions derive the posteror contraction rate. This rate turns out to be the optimal posterior contraction rate.
Accepté le :
DOI : 10.1051/ps/2016008
Mots clés : Dispersion coefficient, non-parametric Bayesian estimation, posterior contraction rate, stochastic differential equation
@article{PS_2016__20__143_0,
author = {Gugushvili, Shota and Spreij, Peter},
title = {Posterior contraction rate for non-parametric {Bayesian} estimation of the dispersion coefficient of a stochastic differential equation},
journal = {ESAIM: Probability and Statistics},
pages = {143--153},
publisher = {EDP-Sciences},
volume = {20},
year = {2016},
doi = {10.1051/ps/2016008},
mrnumber = {3528621},
zbl = {1357.62200},
language = {en},
url = {http://www.numdam.org/articles/10.1051/ps/2016008/}
}
TY - JOUR AU - Gugushvili, Shota AU - Spreij, Peter TI - Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation JO - ESAIM: Probability and Statistics PY - 2016 SP - 143 EP - 153 VL - 20 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ps/2016008/ DO - 10.1051/ps/2016008 LA - en ID - PS_2016__20__143_0 ER -
%0 Journal Article %A Gugushvili, Shota %A Spreij, Peter %T Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation %J ESAIM: Probability and Statistics %D 2016 %P 143-153 %V 20 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/ps/2016008/ %R 10.1051/ps/2016008 %G en %F PS_2016__20__143_0
Gugushvili, Shota; Spreij, Peter. Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation. ESAIM: Probability and Statistics, Tome 20 (2016), pp. 143-153. doi : 10.1051/ps/2016008. http://www.numdam.org/articles/10.1051/ps/2016008/
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