Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process
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Publication:447843
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
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
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