Non-informative priors in the case of Gaussian long-memory processes

MaRDI QIDQ701677zbMATH OpenFDO

Authors Anne Philippe, Judith Rousseau

Publication date 30 January 2003

Published in Bernoulli (Search for Journal in Brave)

zbMATH Keywords

Kullback-Leibler distancespectral densitylong memorymatching priorsreference priorsLaplace expansionARFIMA models

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes (62M99) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process
• Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
• Bayesian semiparametric inference on long-range dependence
• Gaussian approximation of general non-parametric posterior distributions
• A Bayesian approach to estimating the long memory parameter

Cited in

(3)

• Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
• Data analysis using regression models with missing observations and long-memory: an application study
• Asymptotic expansion of the risk difference of the Bayesian spectral density in the autoregressive moving average model

This page was built for publication: Non-informative priors in the case of Gaussian long-memory processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q701677)