Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1150264 | Journal of Statistical Planning and Inference | 2010 | 8 Pages |
Abstract
In this paper we consider first-order autoregressive processes and we allow either centered Normal or exponential innovations. We prove large deviation principles for posterior distributions on the unknown parameter and, motivated by potential applications in risk theory, we also prove large deviation principles for Bayesian estimators of Lundberg's parameter.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Claudio Macci,