JOURNAL OF THE JAPAN STATISTICAL SOCIETY
Online ISSN : 1348-6365
Print ISSN : 1882-2754
ISSN-L : 1348-6365
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The Bernstein-von Mises Theorem for Stationary Processes
Kenichiro Tamaki
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Keywords: Bernstein-von Mises theorem, short- and long-memory, stationary processes
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2008 Volume 38 Issue 2 Pages 311-323

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Abstract
This paper discusses the asymptotic properties of the posterior density under Whittle measure. The Bernstein-von Mises theorem is shown for short- and long-memory stationary processes. Applications to Bayesian inference for time series are provided.
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© 2008 Japan Statistical Society
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