Geodesic
Consistent non-parametric bayesian estimation for a time-inhomogeneous brownian motion
ESAIM: Probability and Statistics, Tome 18 (2014), pp. 332-341

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We establish posterior consistency for non-parametric Bayesian estimation of the dispersion coefficient of a time-inhomogeneous Brownian motion.

DOI : 10.1051/ps/2013039
Classification : 62G20, 62M05
Keywords: dispersion coefficient, non-parametric bayesian estimation, posterior consistency, time-inhomogeneous brownian motion 
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     author = {Gugushvili, Shota and Spreij, Peter},
     title = {Consistent non-parametric bayesian estimation for a time-inhomogeneous brownian motion},
     journal = {ESAIM: Probability and Statistics},
     pages = {332--341},
     publisher = {EDP-Sciences},
     volume = {18},
     year = {2014},
     doi = {10.1051/ps/2013039},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/ps/2013039/}
}
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Gugushvili, Shota; Spreij, Peter. Consistent non-parametric bayesian estimation for a time-inhomogeneous brownian motion. ESAIM: Probability and Statistics, Tome 18 (2014), pp. 332-341. doi: 10.1051/ps/2013039

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