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Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors

Abstract

For a Gaussian time series with long-memory behavior, we use the FEXP-model for semi-parametric estimation of the long-memory parameter dd. The true spectral density fof_o is assumed to have long-memory parameter dod_o and a FEXP-expansion of Sobolev-regularity \be>1\be > 1. We prove that when kk follows a Poisson or geometric prior, or a sieve prior increasing at rate n11+2\ben^{\frac{1}{1+2\be}}, dd converges to dod_o at a suboptimal rate. When the sieve prior increases at rate n12\ben^{\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.

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