Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process

DOI10.1214/11-AOS955zbMath1274.62340arXiv1007.3823MaRDI QIDQ447843

Brunero Liseo, Judith Rousseau, Nicolas Chopin

Publication date: 29 August 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1007.3823

zbMATH Keywords

consistencyrates of convergenceBayesian nonparametricFEXP priorsGaussian long memory processes

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (9)

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 ⋮ On adaptive posterior concentration rates ⋮ Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process ⋮ Hypotheses testing and posterior concentration rates for semi-Markov processes ⋮ Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis ⋮ Oracle posterior contraction rates under hierarchical priors ⋮ Bayesian nonparametric spectral density estimation using B-spline priors ⋮ Bayesian Optimal Adaptive Estimation Using a Sieve Prior

Uses Software

• longmemo

Cites Work

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