Asymptotic expansion of the risk difference of the Bayesian spectral density in the autoregressive moving average model

DOI10.1007/s13171-011-0005-1zbMath1267.62095arXivmath/0510558MaRDI QIDQ354212

Fuyuhiko Tanaka, Fumiyasu Komaki

Publication date: 18 July 2013

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

Full work available at URL: https://arxiv.org/abs/math/0510558

zbMATH Keywords

Bayesian estimation; information geometry; non-informative prior

Mathematics Subject Classification ID

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62F15: Bayesian inference

62M15: Inference from stochastic processes and spectral analysis

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Superharmonic priors for autoregressive models

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