Macci, Claudio; Trapani, Stefano - In: Annals of the Institute of Statistical Mathematics 65 (2013) 4, pp. 703-719
We prove the large deviation principle for the posterior distributions on the (unknown) parameter of a multivariate autoregressive process with i.i.d. Normal innovations. As a particular case, we recover a previous result for univariate first-order autoregressive processes. We also show that the...