The Bernstein-Von Mises Theorem for Markov Processes
نویسندگان
چکیده
منابع مشابه
The Bernstein-von Mises Theorem for Stationary Processes
In the literature of time series analysis since Whittle (1953), many authors (for example, Dunsmuir and Hannan (1976), Dunsmuir (1979), and Hosoya and Taniguchi (1982)) have considered an approach using Whittle’s log-likelihood, which is an approximation of Gaussian log-likelihood of the data, and have developed the asymptotic properties of an estimator that maximizes Whittle’s loglikelihood. T...
متن کاملA semiparametric Bernstein - von Mises theorem for Gaussian process priors
This paper is a contribution to the Bayesian theory of semiparametric estimation. We are interested in the so-called Bernstein-von Mises theorem, in a semiparametric framework where the unknown quantity is (θ , f ), with θ the parameter of interest and f an infinite-dimensional nuisance parameter. Two theorems are established, one in the case with no loss of information and one in the informati...
متن کاملOn the Bernstein - von Mises Theorem with Infinite Dimensional Parameters
If there are many independent, identically distributed observations governed by a smooth, finite-dimensional statistical model, the Bayes estimate and the maximum likelihood estimate will be close. Furthermore, the posterior distribution of the parameter vector around the posterior mean will be close to the distribution of the maximum likelihood estimate around truth. Thus, Bayesian confidence ...
متن کاملA Bernstein-Von Mises Theorem for discrete probability distributions
We investigate the asymptotic normality of the the posterior distribution in the discrete case , when model dimension increases with sample size. We consider a probability mass function θ0 on N \ {0} and a sequence of trunction levels (kn)n satisfying k n ≤ n infi≤kn θ0(i). Then, under some mild conditions on θ0 and on the sequence of prior probabilities on the kn-dimensional simplices. Let θ̂ d...
متن کاملSemiparametric Bernstein–von Mises for the error standard deviation
Disclaimer/Complaints regulations If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library: http://uba.uva.nl/en/contact, or a letter to: Library of ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Mathematical Statistics
سال: 1971
ISSN: 0003-4851
DOI: 10.1214/aoms/1177693237