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A superharmonic prior for the autoregressive process of the second-order

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Author Info
Fuyuhiko Tanaka
Fumiyasu Komaki
Abstract

The Bayesian estimation of the spectral density of the AR(2) process is considered. We propose a superharmonic prior on the model as a non-informative prior rather than the Jeffreys prior. Theoretically, the Bayesian spectral density estimator based on it dominates asymptotically the one based on the Jeffreys prior under the Kullback-Leibler divergence. In the present article, an explicit form of a superharmonic prior for the AR(2) process is presented and compared with the Jeffreys prior in computer simulation. Copyright 2008 The Authors

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2007.00561.x
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Article provided by Blackwell Publishing in its journal Journal of Time Series Analysis.

Volume (Year): 29 (2008)
Issue (Month): 3 (05)
Pages: 444-452
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Handle: RePEc:bla:jtsera:v:29:y:2008:i:3:p:444-452

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