Bayesian consistency for stationary models

DOI10.1017/S0266466607070314MaRDI QIDQ2886964zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

Recommendations

• Bayesian consistency for Markov models
• On Bayesian consistency
• On sufficient conditions for Bayesian consistency
• On Consistency of Bayes Procedures
• scientific article; zbMATH DE number 2143289

Cites work

• Bayesian inference on periodicities and component spectral structure in time series
• Calculating posterior distributions and modal estimates in Markov mixture models
• Estimation of the coefficients of a diffusion from discrete observations
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Filtering via Simulation: Auxiliary Particle Filters
• Integral Representations of Invariant Measures
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Likelihood-Based Estimation of Latent Generalized ARCH Structures
• 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
• Priors and Component Structures in Autoregressive Time Series Models
• Stationary Autoregressive Models via a Bayesian Nonparametric Approach

Cited in

(6)

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

This page was built for publication: Bayesian consistency for stationary models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2886964)