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Asymptotic properties of Bayes estimators for Gaussian Itô-processes with noisy observations
Authors:T Deck
Institution:Fakultät für Mathematik und Informatik, Universität Mannheim, D-68131 Mannheim, A5, Germany
Abstract:The estimation of a real parameter θ in a linear stochastic differential equation of the simple type View the MathML source is investigated, based on noisy, time continuous observations of Xt. Sufficient conditions on the continuous functions β and σ are given such that the (conditionally normal) Bayes estimators of θ satisfy certain error bounds and are strongly consistent.
Keywords:62M20  62F15
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