BAYESIAN CONSISTENCY FOR STATIONARY MODELS

DOI10.1017/S0266466607070314zbMath1237.62033OpenAlexW2098777646MaRDI QIDQ2886964

Antonio Lijoi, Igor Prünster, Stephen G. Walker

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466607070314

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

Doob's consistency of a non-Bayesian updating process ⋮ Dynamics of Bayesian updating with dependent data and misspecified models ⋮ RISK MINIMIZATION FOR TIME SERIES BINARY CHOICE WITH VARIABLE SELECTION ⋮ Bayesian Model Comparison with the Hyvärinen Score: Computation and Consistency ⋮ Recursive smooth ambiguity preferences

Cites Work

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• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Filtering via Simulation: Auxiliary Particle Filters
• Priors and Component Structures in Autoregressive Time Series Models
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Likelihood-Based Estimation of Latent Generalized ARCH Structures
• Stationary Autoregressive Models via a Bayesian Nonparametric Approach

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