Fuyuhiko Tanaka

A superharmonic prior for the autoregressive process of the second-order

The Bayesian estimation of the spectral density of the AR(2) process is considered. We propose a super harmonic prior on the model as a non-informative prior rather than the Jeffreys prior. Theoretically, the Bayesian spectral density estimator based on it dominates asymptotically the one based on the Jeffreys prior under the Kullback Leibler divergence. In the present article, an explicit form of a super harmonic prior for the AR(2) process is presented and compared with the Jeffreys prior in computer simulation.