On consistency of Bayesian parameter estimations for a class of ergodic Markov models
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2022
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| _version_ | 1866915213350010880 |
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| author | Nurieva, A. I. Veretennikov, A. Yu. |
| author_facet | Nurieva, A. I. Veretennikov, A. Yu. |
| contents | The consistency of the Bayesian estimation of a parameter is shown for a class of ergodic discrete Markov chains. J.L. Doob's method was used, offered earlier for the i.i.d. situation. The result may be useful in the reliability theory for models with unknown parameters, in the risk management in financial mathematics, and in other applications. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2204_13179 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | On consistency of Bayesian parameter estimations for a class of ergodic Markov models Nurieva, A. I. Veretennikov, A. Yu. Probability 60F15, 62F12, 62F15, 62M05 The consistency of the Bayesian estimation of a parameter is shown for a class of ergodic discrete Markov chains. J.L. Doob's method was used, offered earlier for the i.i.d. situation. The result may be useful in the reliability theory for models with unknown parameters, in the risk management in financial mathematics, and in other applications. |
| title | On consistency of Bayesian parameter estimations for a class of ergodic Markov models |
| topic | Probability 60F15, 62F12, 62F15, 62M05 |
| url | https://arxiv.org/abs/2204.13179 |