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- W3122897759 abstract "For 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 $n^{frac{1}{1+2be}}$, $d$ converges to $d_o$ at a suboptimal rate. When the sieve prior increases at rate $n^{frac{1}{2be}}$ 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." @default.
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- W3122897759 date "2012-01-01" @default.
- W3122897759 modified "2023-09-23" @default.
- W3122897759 title "Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors" @default.
- W3122897759 hasPublicationYear "2012" @default.
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