We prove the large deviation principle for the posterior distributions on the (unknown) parameter of a multivariate autoregressive process with i.i.d. Normal innovations. As a particular case, we recover a previous result for univariate first-order autoregressive processes. We also show that the rate function can be expressed in terms of the divergence between two spectral densities.

Macci, C., Trapani, S. (2013). Large deviations for posterior distributions on the parameter of a multivariate AR(p) process. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 65(4), 703-719 [10.1007/s10463-012-0389-2].

Large deviations for posterior distributions on the parameter of a multivariate AR(p) process

MACCI, CLAUDIO;TRAPANI, STEFANO
2013

Abstract

We prove the large deviation principle for the posterior distributions on the (unknown) parameter of a multivariate autoregressive process with i.i.d. Normal innovations. As a particular case, we recover a previous result for univariate first-order autoregressive processes. We also show that the rate function can be expressed in terms of the divergence between two spectral densities.
Pubblicato
Rilevanza internazionale
Articolo
Esperti anonimi
Settore MAT/06 - Probabilita' e Statistica Matematica
English
Macci, C., Trapani, S. (2013). Large deviations for posterior distributions on the parameter of a multivariate AR(p) process. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 65(4), 703-719 [10.1007/s10463-012-0389-2].
Macci, C; Trapani, S
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/86472
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