Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors

DOI10.1214/13-EJS864zbMath1349.62100arXiv1202.4863OpenAlexW1983636161MaRDI QIDQ391840

Willem Kruijer, Judith Rousseau

Publication date: 13 January 2014

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.4863

zbMATH Keywords

rates of convergenceBayesian semiparametricBernstein-von MisesFEXP priorsGaussian long-memory processes

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Bayesian inference (62F15) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

On some aspects of the asymptotic properties of Bayesian approaches in nonparametric and semiparametric models ⋮ Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors ⋮ A Bernstein-von Mises theorem for smooth functionals in semiparametric models

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
• Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process
• The semiparametric Bernstein-von Mises theorem
• A semiparametric Bernstein-von Mises theorem for Gaussian process priors
• Bernstein-von Mises theorem for linear functionals of the density
• Non-informative priors in the case of Gaussian long-memory processes
• On adaptive posterior concentration rates
• Efficient parameter estimation for self-similar processes
• Convergence rates of posterior distributions for non iid observations
• Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
• On the Bernstein-von Mises theorem with infinite-dimensional parameters
• Bayesian nonparametric point estimation under a conjugate prior
• The FEXP estimator for potentially non-stationary linear time series.
• Convergence rates of posterior distributions.
• Gaussian semiparametric estimation of long range dependence
• Bayesian Optimal Adaptive Estimation Using a Sieve Prior
• Asymptotic Statistics
• Fitting long-memory models by generalized linear regression
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• Adaptive estimation of the fractional differencing coefficient
• A Bayesian approach to estimating the long memory parameter

This page was built for publication: Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors