Laplace approximations using \(n^\alpha\)-consistent estimators

DOI10.1016/j.jspi.2017.10.003zbMath1392.62273OpenAlexW2766983800MaRDI QIDQ680390

Yoichi Miyata

Publication date: 23 January 2018

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2017.10.003

zbMATH Keywords

Bayesian analysisasymptotic expansionGARCH modelLaplace's approximation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15)

Related Items (1)

Applications of Laplace’s method in Bayesian analysis and related topics

Uses Software

• QRM

Cites Work

• Consistency of Bayes factors under hyper \(g\)-priors with growing model size
• Asymptotic expansions of posterior expectations, distributions and densities for stochastic processes
• Generalized autoregressive conditional heteroscedasticity
• The Stochastic Difference Between Econometric Statistics
• Accurate Approximations for Posterior Moments and Marginal Densities
• Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
• Fully Exponential Laplace Approximations Using Asymptotic Modes
• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
• On Information and Sufficiency
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