Large deviations for Bayesian estimators in first-order autoregressive processes

DOI10.1016/J.JSPI.2010.02.023zbMATH Open1188.62272OpenAlexW1966016985MaRDI QIDQ974525FDOQ974525

Authors: Claudio Macci 

Publication date: 3 June 2010

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.2010.02.023

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zbMATH Keywords

large deviationsposterior distributionlevel crossing probabilityLundberg's parameter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10)

Cites Work

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• LARGE DEVIATION PRINCIPLE FOR THE SAMPLE COVARIANCE FUNCTION OF A FIRST ORDER AUTOREGRESSIVE PROCESS
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Cited In (3)

• A large-deviation principle for Dirichlet posteriors
• Large deviations for posterior distributions on the parameter of a multivariate \(\mathrm{AR}(p)\) process
• Large deviations for estimators of unknown probabilities, with applications in risk theory

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