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

Fuyuhiko Tanaka and Fumiyasu Komaki

Journal of Time Series Analysis, 2008, vol. 29, issue 3, 444-452

Abstract: 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.

Date: 2008
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https://doi.org/10.1111/j.1467-9892.2007.00561.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:29:y:2008:i:3:p:444-452

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