English

Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors

Statistics Theory 2012-02-24 v1 Statistics Theory

Abstract

For a Gaussian time series with long-memory behavior, we use the FEXP-model for semi-parametric estimation of the long-memory parameter dd. The true spectral density fof_o is assumed to have long-memory parameter dod_o and a FEXP-expansion of Sobolev-regularity \be>1\be > 1. We prove that when kk follows a Poisson or geometric prior, or a sieve prior increasing at rate n11+2\ben^{\frac{1}{1+2\be}}, dd converges to dod_o at a suboptimal rate. When the sieve prior increases at rate n12\ben^{\frac{1}{2\be}} however, the minimax rate is almost obtained. Our results can be seen as a Bayesian equivalent of the result which Moulines and Soulier obtained for some frequentist estimators.

Keywords

Cite

@article{arxiv.1202.4863,
  title  = {Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors},
  author = {Willem Kruijer and Judith Rousseau},
  journal= {arXiv preprint arXiv:1202.4863},
  year   = {2012}
}
R2 v1 2026-06-21T20:23:19.972Z