Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors

DOI10.1214/13-EJS864MaRDI QIDQ391840zbMATHOpenAlexFDO

Authors Willem Kruijer, Judith Rousseau

Publication date 13 January 2014

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1202.4863

zbMATH Keywords

rates of convergenceBayesian semiparametricBernstein-von MisesFEXP priorsGaussian long-memory processes

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

Abstract: For a Gaussian time series with long-memory behavior, we use the FEXP-model for semi-parametric estimation of the long-memory parameter $d$. The true spectral density $f_o$ is assumed to have long-memory parameter $d_o$ and a FEXP-expansion of Sobolev-regularity $$. We prove that when $k$ follows a Poisson or geometric prior, or a sieve prior increasing at rate $$, $d$ converges to $d_o$ at a suboptimal rate. When the sieve prior increases at rate $$ however, the minimax rate is almost obtained. Our results can be seen as a Bayesian equivalent of the result which Moulines and Soulier obtained for some frequentist estimators.

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Cited in

(6)

• A Bayesian approach to estimating the long memory parameter
• Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
• Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process
• On some aspects of the asymptotic properties of Bayesian approaches in nonparametric and semiparametric models
• A Bernstein-von Mises theorem for smooth functionals in semiparametric models
• Non-informative priors in the case of Gaussian long-memory processes

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• longmemo

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