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À propos de : Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation        

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  • Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation
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  • 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.
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  • ps160008
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  • © EDP Sciences, SMAI 2016
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  • EDP Sciences, SMAI
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