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Extension of some large deviation results for posterior distributions
Affiliation:Dipartimento di Matematica, Università di Roma Tor Vergata, Via della Ricerca Scientifica, I-00133 Roma, Italy
Abstract:We consider a family of statistical models with positive unknown parameter (which includes some well-known models for censored exponential data) and some statistical models for samples from stationary Gaussian processes. We prove large deviation results for posterior distributions and, in some cases, also for maximum likelihood estimators.
Keywords:Large deviations  Stationary Gaussian process  Short-range and long-range dependence
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