Bayesian Estimation of the Spectral Density of a Time Series

DOI10.1198/016214504000000557zbMath1055.62100OpenAlexW2077845604WikidataQ56687361 ScholiaQ56687361MaRDI QIDQ4651032

Nidhan Choudhuri, Anindya Roy, Subhashis Ghosal

Publication date: 21 February 2005

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214504000000557

zbMATH Keywords

Dirichlet processperiodogramposterior distributionBernstein polynomialMetropolis algorithmposterior consistency

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes and spectral analysis (62M15) Numerical analysis or methods applied to Markov chains (65C40)

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