Asymptotic expansions of posterior expectations, distributions and densities for stochastic processes

DOI10.1007/BF00052346MaRDI QIDQ1120212zbMATH OpenOpenAlexFDO

Authors Martin Crowder

Publication date 1988

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00052346

zbMATH Keywords

asymptotic posterior normalitydistribution functionsdensity functionsAsymptotic expansionsBayesian posterior expectations

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20)

Cites work

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• An Asymptotic Expansion for Posterior Distributions
• Asymptotic Expansions Associated with Posterior Distributions
• Note on the Consistency of the Maximum Likelihood Estimate
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• On Wald's Proof of the Consistency of the Maximum Likelihood Estimate
• The Bernstein-Von Mises Theorem for Markov Processes
• Uniform asymptotic normality of the maximum likelihood estimator

Cited in

(7)

• Bayesian Analysis of DSGE Models
• Laplace approximations and Bayesian information criteria in possibly misspecified models
• Asymptotic expansion of the posterior density in high dimensional generalized linear models
• Applications of Laplace’s method in Bayesian analysis and related topics
• Model selection in the presence of nonstationarity
• An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification
• Laplace approximations using \(n^\alpha\)-consistent estimators

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