Large deviations for posterior distributions on the parameter of a multivariate \(\mathrm{AR}(p)\) process

DOI10.1007/s10463-012-0389-2zbMath1273.62216OpenAlexW2036320715MaRDI QIDQ379990

Stefano Trapani, Claudio Macci

Publication date: 11 November 2013

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-012-0389-2

zbMATH Keywords

relative entropylarge deviation principledivergencespectral density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Inference from stochastic processes and spectral analysis (62M15) Large deviations (60F10)

Related Items (1)

Explicit bivariate rate functions for large deviations in AR(1) and MA(1) processes with Gaussian innovations

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