Uchida, Masayuki; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 17 (2014) 2, pp. 181-219
We consider adaptive Bayesian estimation of both drift and diffusion coefficient parameters for ergodic multidimensional diffusion processes based on sampled data. Under a general condition on the discretization step of the sampled data, three kinds of adaptive Bayes type estimators are proposed...