Superharmonic priors for autoregressive models

DOI10.1007/s41884-017-0001-1zbMath1409.62179OpenAlexW2772972453MaRDI QIDQ1713656

Fuyuhiko Tanaka

Publication date: 28 January 2019

Published in: Information Geometry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s41884-017-0001-1

zbMATH Keywords

Riemannian manifoldautoregressive modelsKullback-Leibler divergenceJeffreys priornoninformative priorsFisher metricBayesian time series analysissuperharmonic priors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Cites Work

• Asymptotic expansion of the risk difference of the Bayesian spectral density in the autoregressive moving average model
• Statistical decision theory and Bayesian analysis. 2nd ed
• Time series: theory and methods.
• Shrinkage priors for Bayesian prediction
• A superharmonic prior for the autoregressive process of the second-order
• Differential geometry of a parametric family of invertible linear systems—Riemannian metric, dual affine connections, and divergence
• An Estimating Method for Parametric Spectral Densities of Gaussian Time Series
• <tex>$alpha$</tex>-Parallel Prior and its Properties
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