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 . The true spectral density is assumed to have long-memory parameter and a FEXP-expansion of Sobolev-regularity . We prove that when follows a Poisson or geometric prior, or a sieve prior increasing at rate , converges to at a suboptimal rate. When the sieve prior increases at rate 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}
}