A smoothness priors long AR model method for spectral estimation

DOI10.1109/TAC.1985.1103786MaRDI QIDQ3217483zbMATH OpenFDO

Authors Genshiro Kitagawa, Will Gersch

Publication date 1985

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.1985.1103786

zbMATH Keywords

Bayesianentropy comparisonintegrated squared derivatives of the AR model whitening filterlikelihoodminimum AIC-AR methodsNumerical examplessimulation studiessmoothness constraintssmoothness priors long AR modelspectral estimation

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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