Asymptotic considerations in a Bayesian linear model with nonparametrically modelled time series innovations

Claudia Kirch; Alexander Meier; Renate Meyer; Yifu Tang

doi:10.6084/m9.figshare.30091344

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Asymptotic considerations in a Bayesian linear model with nonparametrically modelled time series innovations

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Asymptotic considerations in a Bayesian linear model with nonparametrically modelled time series innovations

Claudia Kirch, Alexander Meier, Renate Meyer and Yifu Tang

Taylor & Francis

10/09/2025

DOI: https://doi.org/10.6084/m9.figshare.30091344

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https://hdl.handle.net/10523/47975

Abstract

semi-parametric Bernstein-von Mises theorem

linear regression with time series error

Whittle likelihood

Bernstein-Gamma process

Supplemental material (R code for the simulation and case study) for Kirch, C., Meier, A., Meyer, R., & Tang, Y. (2025). Asymptotic considerations in a Bayesian linear model with nonparametrically modelled time series innovations. Journal of Nonparametric Statistics. https://doi.org/10.1080/10485252.2025.2551747.

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Record Identifier: 9926769444201891
Title: Asymptotic considerations in a Bayesian linear model with nonparametrically modelled time series innovations
Creators: Claudia Kirch
Alexander Meier
Renate Meyer
Yifu Tang
Academic Unit: Mathematics and Statistics; Statistics
Publisher: Taylor & Francis
Grant note: DFG grants (KI 1443/3-1, KI 1443/3-2); Marsden fund, Royal Society Te Apārangi (MFP-UOA2131)
Date published ; e-published: 10/09/2025
Language: English
Resource Type ; Subtype: Dataset

Asymptotic considerations in a Bayesian linear model with nonparametrically modelled time series innovations

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