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Adaptive Bayesian Estimation of a spectral density

Rousseau, Judith; Kruijer, Willem (2011), Adaptive Bayesian Estimation of a spectral density. https://basepub.dauphine.fr/handle/123456789/7619

Type
Document de travail / Working paper
External document link
http://hal.archives-ouvertes.fr/hal-00641485/fr/
Date
2011
Publisher
Université Paris-Dauphine
Published in
Paris
Pages
14
Metadata
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Author(s)
Rousseau, Judith
Kruijer, Willem
Abstract (EN)
Rousseau et al. [8] recently studied the asymptotic behavior of Bayesian estimators in the FEXP-model for spectral densities of Gaussian time-series. For the L2-norm on the log-spectral densities, they proved that the convergence rate is at least n 2 +1 (log n) 2 +2 2 +1 , > 1 2 being the Sobolev-regularity of the true spectral density fo. We will improve upon the logarithmic factor, and prove that given a prior only depending on s > 1 2 , we have adaptivity to any s.
Subjects / Keywords
FEXP-model; Bayesian non-parametric; rates of convergence; adaptive estimation; long-memory time-series
JEL
C11 - Bayesian Analysis: General

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    Kruijer, Willem; Rousseau, Judith; Van Der Vaart, Aad (2009-05) Communication / Conférence
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    Rousseau, Judith; Kruijer, Willem (2013) Article accepté pour publication ou publié
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    Kruijer, Willem; Rousseau, Judith (2010) Communication / Conférence
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    Rousseau, Judith; Chopin, Nicolas; Liseo, Brunero (2012) Article accepté pour publication ou publié
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    Bayesian nonparametric estimation of the spectral density of a long memory Gaussian time series 
    Liseo, Brunero; Rousseau, Judith (2006) Document de travail / Working paper
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