Bayesian consistency for Markov models

DOI10.1007/s13171-014-0055-2zbMath1317.62041OpenAlexW1973367570MaRDI QIDQ2352339

Isadora Antoniano-Villalobos, Stephen G. Walker

Publication date: 30 June 2015

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-014-0055-2

zbMATH Keywords

Markov processtransition densitymartingale sequencenonparametric mixtureposterior consistency

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

Related Items

Bayesian consistency for a nonparametric stationary Markov model

Cites Work

• Unnamed Item
• Posterior consistency of Gaussian process prior for nonparametric binary regression
• Convergence rates of posterior distributions for Brownian semimartingale models
• On the stationary version of the generalized hyperbolic ARCH model
• Convergence rates of posterior distributions for non iid observations
• Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
• New approaches to Bayesian consistency
• Posterior consistency of Dirichlet mixtures in density estimation
• Martingale estimation functions for discretely observed diffusion processes
• The consistency of posterior distributions in nonparametric problems
• Posterior consistency of Dirichlet mixtures for estimating a transition density
• On posterior consistency in nonparametric regression problems
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• On sufficient conditions for Bayesian consistency
• Estimation for discretely observed diffusions using transform functions
• A Review of Some Aspects of Asymptotic Likelihood Theory for Stochastic Processes
• Stationary Autoregressive Models via a Bayesian Nonparametric Approach
• On Bayes procedures