Large deviations for Bayesian estimators in first-order autoregressive processes

DOI10.1016/J.JSPI.2010.02.023MaRDI QIDQ974525zbMATHOpenAlexFDO

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

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)

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• Ruin theory in the linear model
• Speed of convergence of the least-squares estimator in autoregressive models
• UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS

Cited in

(5)

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

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