Large deviations for Bayesian estimators in first-order autoregressive processes

DOI10.1016/J.JSPI.2010.02.023MaRDI QIDQ974525zbMATH OpenOpenAlexFDO

Authors Claudio Macci

Publication date 3 June 2010

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2010.02.023

zbMATH Keywords

large deviationslevel crossing probabilityLundberg's parameterposterior distribution

Mathematics Subject Classification ID

Large deviations (60F10) Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A conjugate family for ar(1) processes with exponential errors
• Asymptotic ruin probabilities for risk processes with dependent increments.
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• Dams with autoregressive inputs
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• Estimation of the first-order autoregressive model with contaminated exponential white noise
• First-order autoregressive gamma sequences and point processes
• scientific article; zbMATH DE number 410740 (Why is no real title available?)
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 3757571 (Why is no real title available?)
• scientific article; zbMATH DE number 3245885 (Why is no real title available?)
• Infrence for non-negative autoregressive schemes
• Large and moderate deviations for infinite-dimensional autoregressive processes.
• LARGE DEVIATION PRINCIPLE FOR THE SAMPLE COVARIANCE FUNCTION OF A FIRST ORDER AUTOREGRESSIVE PROCESS
• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• On ar(1) processes with exponential white noise
• On exponential rates of estimators of the parameter in the first-order autoregressive process
• On the large deviation principle for a quadratic functional of the autoregressive process
• Ruin theory in the linear model
• Speed of convergence of the least-squares estimator in autoregressive models
• UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS

Cited in

(6)

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• Extension of some large deviation results for posterior distributions
• Large deviations and the Bayesian estimation of higher-order Markov transition functions
• Large deviation results on some estimators for stationary Gaussian processes
• A large-deviation principle for Dirichlet posteriors
• Large deviations for estimators of unknown probabilities, with applications in risk theory

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