Bayesian semiparametric inference on long-range dependence

DOI10.1093/BIOMET/88.4.1089MaRDI QIDQ2773187zbMATH OpenOpenAlexFDO

Authors Brunero Liseo, Lea Petrella, Domenico Marinucci

Publication date 10 June 2002

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/88.4.1089

zbMATH Keywords

Bayesian semiparametric procedurefrequency domain methodslong-range dependenceMarkov chain Monte Carlo

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(21)

• A class of shrinkage priors for the dependence structure in longitudinal data
• Estimation methods for stationary Gegenbauer processes
• Bayesian semiparametric long memory models for discretized event data
• Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
• Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach
• Fast Bayesian estimation for VARFIMA processes with stable errors
• Bayesian nonparametric spectral density estimation using B-spline priors
• Minimum distance estimation of ARFIMA processes
• Spectral decompositions of multiple time series: a Bayesian non-parametric approach
• Long-range dependence and approximate Bayesian computation
• 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
• Bayesian Spectral Modeling for Multiple Time Series
• A note on Bayesian inference for long-range dependence of a stationary two-state process
• Nonparametric Bayesian inference for the spectral density function of a random field
• Posterior consistency for the spectral density of non‐Gaussian stationary time series
• Long memory conditional random fields on regular lattices
• Parameter estimation for fractional power type diffusion: A hybrid Bayesian-deep learning approach
• Non-informative priors in the case of Gaussian long-memory processes
• Bayesian multiscale feature detection of log-spectral densities
• Random field priors for spectral density functions

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