An Asymtotic Theory of Bayesian Inference for Time Series

DOI10.2307/2171788MaRDI QIDQ5690043zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips, Werner Ploberger

Publication date 29 May 1997

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2171788

zbMATH Keywords

autoregressionBayes factorsBayesian data measureBrownian motioncontinuous timedata density processdiscrete timeDoleans exponentialembedding theoremexponential densitylarge sample approximationlikelihood ratiosmartingalenonlinear stochastic differential equationposterior processprior densityquadratic variation processtime seriesunit root

Mathematics Subject Classification ID

Strong limit theorems (60F15) Brownian motion (60J65) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(43)

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• Testing for strict stationarity in a random coefficient autoregressive model
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• Comparing dynamic equilibrium models to data: a Bayesian approach

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