Posterior consistency via precision operators for Bayesian nonparametric drift estimation in SDEs
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DOI: 10.1016/j.spa.2012.08.010
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References listed on IDEAS
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Cited by:
- Frank Meulen & Moritz Schauer & Jan Waaij, 2018. "Adaptive nonparametric drift estimation for diffusion processes using Faber–Schauder expansions," Statistical Inference for Stochastic Processes, Springer, vol. 21(3), pages 603-628, October.
- van der Meulen, Frank & Schauer, Moritz & van Zanten, Harry, 2014. "Reversible jump MCMC for nonparametric drift estimation for diffusion processes," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 615-632.
- Fabian Dunker & Thorsten Hohage, 2014. "On parameter identification in stochastic differential equations by penalized maximum likelihood," Papers 1404.0651, arXiv.org.
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Keywords
Stochastic differential equation; Nonparametric Bayesian estimation; Posterior consistency;All these keywords.
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