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

This paper considers a semiparametric approach within the general Bayesian linear model where the innovations consist of a stationary, mean zero Gaussian time series. While a parametric prior is specified for the linear model coefficients, the autocovariance structure of the time series is modelled nonparametrically using a Bernstein-Gamma process prior for the spectral density function, the Fourier transform of the autocovariance function. When updating this joint prior with Whittle's likelihood, a Bernstein-von-Mises result is established for the linear model coefficients showing the asymptotic equivalence of the corresponding estimators to those obtained from frequentist pseudo-maximum-likelihood estimation under the Whittle likelihood. Local asymptotic normality of the likelihood is shown, demonstrating that the marginal posterior distribution of the linear model coefficients shrinks at parametric rate towards the true value, and that the conditional posterior distribution of the spectral density contracts in the sup-norm, even in the case of a partially misspecified linear model.

Authors

Institutions

Publication Details

Journal
Journal of nonparametric statistics
Published
2025-09-09
DOI
https://doi.org/10.1080/10485252.2025.2551747
Citations
1
Primary Topic
Bayesian Methods and Mixture Models
Type
article
Field-Weighted Citation Impact
2.48
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

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

Renate Meyer, Yifu Tang, Claudia Kirch, Alexander Meier
1 citations
Journal of nonparametric statistics
Bayesian Methods and Mixture Models
2.48
article

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

Renate Meyer, Yifu Tang, Claudia Kirch, Alexander Meier
article en
1 citations

Abstract

This paper considers a semiparametric approach within the general Bayesian linear model where the innovations consist of a stationary, mean zero Gaussian time series. While a parametric prior is specified for the linear model coefficients, the autocovariance structure of the time series is modelled nonparametrically using a Bernstein-Gamma process prior for the spectral density function, the Fourier transform of the autocovariance function. When updating this joint prior with Whittle's likelihood, a Bernstein-von-Mises result is established for the linear model coefficients showing the asymptotic equivalence of the corresponding estimators to those obtained from frequentist pseudo-maximum-likelihood estimation under the Whittle likelihood. Local asymptotic normality of the likelihood is shown, demonstrating that the marginal posterior distribution of the linear model coefficients shrinks at parametric rate towards the true value, and that the conditional posterior distribution of the spectral density contracts in the sup-norm, even in the case of a partially misspecified linear model.

Journal of nonparametric statisticsVol. 38(1)
University of Auckland (NZ), University of Otago (NZ), Otto-von-Guericke-Universität Magdeburg (DE)
Openalex Percentile: Top 9%
Bayesian Methods and Mixture Models
2.48
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.