Asymptotic expansions of posterior expectations, distributions and densities for stochastic processes

DOI10.1007/BF00052346zbMath0672.62029OpenAlexW1994394568MaRDI QIDQ1120212

Martin Crowder

Publication date: 1988

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00052346

zbMATH Keywords

distribution functionsdensity functionsasymptotic posterior normalityAsymptotic expansionsBayesian posterior expectations

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05)

Related Items (7)

Bayesian Analysis of DSGE Models ⋮ Asymptotic expansion of the posterior density in high dimensional generalized linear models ⋮ Applications of Laplace’s method in Bayesian analysis and related topics ⋮ Laplace approximations and Bayesian information criteria in possibly misspecified models ⋮ Laplace approximations using \(n^\alpha\)-consistent estimators ⋮ Model selection in the presence of nonstationarity ⋮ An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification

Cites Work

• Uniform asymptotic normality of the maximum likelihood estimator
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• An Asymptotic Expansion for Posterior Distributions
• Asymptotic Expansions Associated with Posterior Distributions
• The Bernstein-Von Mises Theorem for Markov Processes
• Note on the Consistency of the Maximum Likelihood Estimate
• On Wald's Proof of the Consistency of the Maximum Likelihood Estimate
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