POSTERIOR CONTRACTION RATE FOR NON-PARAMETRIC BAYESIAN ESTIMATION OF THE DISPERSION COEFFICIENT OF A STOCHASTIC DIFFERENTIAL EQUATION

被引：1
|
作者：
Gugushvili, Shota [1 ]
Spreij, Peter [2 ]
机构：
[1] Leiden Univ, Math Inst, POB 9512, NL-2300 RA Leiden, Netherlands
[2] Univ Amsterdam, Korteweg de Vries Inst Math, POB 94248, NL-1090 GE Amsterdam, Netherlands
来源：
ESAIM-PROBABILITY AND STATISTICS | 2016年 / 20卷
基金：
欧洲研究理事会;
关键词：
Dispersion coefficient; non-parametric Bayesian estimation; posterior contraction rate; stochastic differential equation; DIFFUSION-COEFFICIENT; CONVERGENCE-RATES;
D O I：
10.1051/ps/2016008
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：143 / 153
页数：11
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