Abstract
We consider the asymptotic behavior of a Bayesian parameter estimation method under discrete stationary observations. We suppose that the transition density of the data is unknown, and therefore we approximate it using a kernel density estimation method applied to the Monte Carlo simulations of approximations of the theoretical random variables generating the observations. In this article, we estimate the error between the theoretical estimator, which assumes the knowledge of the transition density and its approximation which uses the simulation. We prove the strong consistency of the approximated estimator and find the order of the error. Most importantly, we give a parameter tuning result which relates the number of data, the number of time-steps used in the approximation process, the number of the Monte Carlo simulations and the bandwidth size of the kernel density estimation.
Mathematics Subject Classification (2000). 62F12, 62F15, 65C60.
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Kohatsu-Higa, A., Vayatis, N., Yasuda, K. (2011). Strong Consistency of Bayesian Estimator Under Discrete Observations and Unknown Transition Density. In: Kohatsu-Higa, A., Privault, N., Sheu, SJ. (eds) Stochastic Analysis with Financial Applications. Progress in Probability, vol 65. Springer, Basel. https://doi.org/10.1007/978-3-0348-0097-6_10
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DOI: https://doi.org/10.1007/978-3-0348-0097-6_10
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