Large deviations for posterior distributions on the parameter of a multivariate AR(p) process

DOI10.1007/S10463-012-0389-2zbMATH Open1273.62216OpenAlexW2036320715MaRDI QIDQ379990FDOQ379990

Authors: Claudio Macci, Stefano Trapani 

Publication date: 11 November 2013

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-012-0389-2

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zbMATH Keywords

spectral densitydivergencelarge deviation principlerelative entropy

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10) Inference from stochastic processes and spectral analysis (62M15)

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Cited In (3)

• Large deviations for Bayesian estimators in first-order autoregressive processes
• Explicit bivariate rate functions for large deviations in AR(1) and MA(1) processes with Gaussian innovations
• Extension of some large deviation results for posterior distributions

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