Laplace approximations using n^-consistent estimators

DOI10.1016/J.JSPI.2017.10.003MaRDI QIDQ680390zbMATH OpenOpenAlexFDO

Authors 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

asymptotic expansionBayesian analysisGARCH modelLaplace's approximation

Mathematics Subject Classification ID

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

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Cites work

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• Generalized autoregressive conditional heteroscedasticity
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• scientific article; zbMATH DE number 3733065 (Why is no real title available?)
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• The Stochastic Difference Between Econometric Statistics

Cited in

(8)

• Laplace approximations to means and variances with asymptotic modes
• Laplace Approximations for Posterior Expectations When the Mode Occurs at the Boundary of the Parameter Space
• Laplace approximations and Bayesian information criteria in possibly misspecified models
• scientific article; zbMATH DE number 795286 (Why is no real title available?)
• Approximation properties of Laplace-type estimators
• scientific article; zbMATH DE number 4197145 (Why is no real title available?)
• Applications of Laplace’s method in Bayesian analysis and related topics
• On the tightness of the Laplace approximation for statistical inference

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Uses Software

• QRM

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