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

DOI10.1007/S10463-012-0389-2MaRDI QIDQ379990zbMATH OpenOpenAlexFDO

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

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)

• 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
• Large deviations for Bayesian estimators in first-order autoregressive processes

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