Bayesian prediction and model selection for locally asymptotically mixed normal models

DOI10.1016/j.jspi.2006.10.002zbMath1120.62018OpenAlexW2069289276MaRDI QIDQ2455737

Tomonari Sei, Fumiyasu Komaki

Publication date: 26 October 2007

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.2006.10.002

zbMATH Keywords

model selectionKullback-Leibler divergenceinformation criterionlocal asymptotic mixed normalityBayesian prediction

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Bayesian inference (62F15)

Related Items (3)

Local asymptotic mixed normality of transformed Gaussian models for random fields ⋮ Contrast-based information criterion for ergodic diffusion processes from discrete observations ⋮ Data driven time scale in Gaussian quasi-likelihood inference

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