Asymptotic expansion of the risk difference of the Bayesian spectral density in the autoregressive moving average model

DOI10.1007/s13171-011-0005-1zbMath1267.62095arXivmath/0510558OpenAlexW2086111539MaRDI QIDQ354212

Fuyuhiko Tanaka, Fumiyasu Komaki

Publication date: 18 July 2013

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0510558

zbMATH Keywords

Bayesian estimationinformation geometrynon-informative prior

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Bayesian inference (62F15) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Superharmonic priors for autoregressive models

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