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dc.contributor.authorRousseau, Judith
dc.contributor.authorKruijer, Willem
dc.date.accessioned2012-02-29T14:34:46Z
dc.date.available2012-02-29T14:34:46Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/8328
dc.language.isoenen
dc.subjectFEXP-priorsen
dc.subjectlong memory modelsen
dc.subjectbernstein von Misesen
dc.subjectposterior concentrationen
dc.subjectBayesian semi-parametricen
dc.subject.ddc519en
dc.subject.classificationjelC11en
dc.titleBayesian semi-parametric estimation of the long-memory parameter under FEXP-priorsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherCentre de Recherche en Économie et Statistique (CREST) http://www.crest.fr/ INSEE – École Nationale de la Statistique et de l'Administration Économique;France
dc.contributor.editoruniversityotherBiometris Wageningen UR;Pays-Bas
dc.description.abstractenFor a Gaussian time series with long-memory behavior, we use the FEXP-model for semi-parametric estimation of the long-memory parameter $d$. The true spectral density $f_o$ is assumed to have long-memory parameter $d_o$ and a FEXP-expansion of Sobolev-regularity $\be > 1$. We prove that when $k$ follows a Poisson or geometric prior, or a sieve prior increasing at rate $n^{\frac{1}{1+2\be}}$, $d$ converges to $d_o$ at a suboptimal rate. When the sieve prior increases at rate $n^{\frac{1}{2\be}}$ 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.en
dc.relation.isversionofjnlnameElectronic Journal of Statistics
dc.relation.isversionofjnlvol7
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpages2947-2969
dc.relation.isversionofdoihttp://dx.doi.org/10.1214/13-EJS864
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00672772en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherThe Institute of Mathematical Statistics and the Bernoulli Society
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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