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

zbMATH Open1003.62026MaRDI QIDQ701677FDOQ701677

Authors: Anne Philippe, Judith Rousseau 

Publication date: 30 January 2003

Published in: Bernoulli (Search for Journal in Brave)

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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)

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

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