A superharmonic prior for the autoregressive process of the second-order

DOI10.1111/J.1467-9892.2007.00561.XMaRDI QIDQ3552832zbMATH OpenOpenAlexFDO

Authors Fuyuhiko Tanaka, Fumiyasu Komaki

Publication date 22 April 2010

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2007.00561.x

zbMATH Keywords

Bayesian estimationstationary Gaussian processnon-informative priorAR model

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 1560711 (Why is no real title available?)
• scientific article; zbMATH DE number 3227305 (Why is no real title available?)
• A shrinkage predictive distribution for multivariate normal observables
• An Estimating Method for Parametric Spectral Densities of Gaussian Time Series
• Differential geometry of a parametric family of invertible linear systems—Riemannian metric, dual affine connections, and divergence
• Improved minimax predictive densities under Kullback-Leibler loss
• Shrinkage priors for Bayesian prediction
• Simultaneous prediction of independent Poisson observables

Cited in

(3)

• Asymptotic expansion of the risk difference of the Bayesian spectral density in the autoregressive moving average model
• Empirical geodesic graphs and CAT\((k)\) metrics for data analysis
• Superharmonic priors for autoregressive models

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