THE BERNSTEIN-VON MISES THEOREM FOR STATIONARY PROCESSES

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概要

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• This paper discusses the asymptotic properties of the posterior density under Whittle measure. The Bernstein-von Mises theorem is shown for short- and long-memory stationary processes. Applications to Bayesian inference for time series are provided.

• 一般社団法人日本統計学会の論文

著者

• Tamaki Kenichiro

  School Of Political Science And Economics Waseda University

関連論文

• GENERALIZED INFORMATION CRITERIA IN MODEL SELECTION FOR LOCALLY STATIONARY PROCESSES(CELEBRATION VOLUME FOR AKAIKE)
• THE BERNSTEIN-VON MISES THEOREM FOR STATIONARY PROCESSES
• GENERALIZED INFORMATION CRITERIA IN MODEL SELECTION FOR LOCALLY STATIONARY PROCESSES
• GENERALIZED INFORMATION CRITERIA IN MODEL SELECTION FOR LOCALLY STATIONARY PROCESSES

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