Bayesian prediction and model selection for locally asymptotically mixed normal models

DOI10.1016/J.JSPI.2006.10.002MaRDI QIDQ2455737zbMATH OpenOpenAlexFDO

Authors 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

Bayesian predictioninformation criterionKullback-Leibler divergencelocal asymptotic mixed normalitymodel selection

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(5)

• Data driven time scale in Gaussian quasi-likelihood inference
• Localized mixture models for prediction with application
• Information criteria for prediction when the distributions of current and future observations differ
• Local asymptotic mixed normality of transformed Gaussian models for random fields
• Contrast-based information criterion for ergodic diffusion processes from discrete observations

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