Bayesian consistency for stationary models

DOI10.1017/S0266466607070314zbMATH Open1237.62033OpenAlexW2098777646MaRDI QIDQ2886964FDOQ2886964

Authors: A. Lijoi, I. Prünster, Stephen G. Walker 

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466607070314

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Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Calculating posterior distributions and modal estimates in Markov mixture models
• Filtering via Simulation: Auxiliary Particle Filters
• Estimation of the coefficients of a diffusion from discrete observations
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Martingale estimation functions for discretely observed diffusion processes
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Likelihood-Based Estimation of Latent Generalized ARCH Structures
• Stationary Autoregressive Models via a Bayesian Nonparametric Approach
• Integral Representations of Invariant Measures
• Bayesian inference on periodicities and component spectral structure in time series
• Priors and Component Structures in Autoregressive Time Series Models

Cited In (6)

• Doob's consistency of a non-Bayesian updating process
• Technical note: Consistency analysis of sequential learning under approximate Bayesian inference
• Recursive smooth ambiguity preferences
• Bayesian model comparison with the Hyvärinen score: computation and consistency
• Risk minimization for time series binary choice with variable selection
• Dynamics of Bayesian updating with dependent data and misspecified models

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