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

zbMath1003.62026MaRDI QIDQ701677

Anne Philippe, Judith Rousseau

Publication date: 30 January 2003

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

long memoryspectral densityLaplace expansionKullback-Leibler distancematching priorsreference priorsARFIMA models

Mathematics Subject Classification ID

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

Related Items (3)

Asymptotic expansion of the risk difference of the Bayesian spectral density in the autoregressive moving average model ⋮ 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

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