Bayesian multiscale analysis for time series data

DOI10.1016/J.CSDA.2006.07.034MaRDI QIDQ1010521zbMATH OpenOpenAlexFDO

Authors Tor Arne Øigård, Håvard Rue, Fred Godtliebsen

Publication date 6 April 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2006.07.034

zbMATH Keywords

Gaussian Markov random fieldssparse matricesmultiscale analysistime series analysisstatistical inferencesizer

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3757565 (Why is no real title available?)
• scientific article; zbMATH DE number 3633568 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• A New Algorithm for Spline Smoothing Based on Smoothing a Stochastic Process
• A visual display device for significant features in complicated signals
• Approximate Bayesian inference for hierarchical Gaussian Markov random field models
• Fast sampling of Gaussian Markov random fields
• Gaussian Markov Random Fields
• On Block Updating in Markov Random Field Models for Disease Mapping
• SiZer for Exploration of Structures in Curves
• The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing

Cited in

(26)

• Statistical inference and visualization in scale-space using local likelihood
• Bayesian Variable Selection and Regularization for Time–Frequency Surface Estimation
• Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
• An exploratory data analysis in scale-space for interval-valued data
• Scale space methods for analysis of type 2 diabetes patients' blood glucose values
• Multi-scale and hidden resolution time series models
• Nonparametric estimation of a log-variance function in scale-space
• Multiscale spectral analysis for detecting short and long range change points in time series
• Bayesian multiscale feature detection of log-spectral densities
• Bayesian multiscale analysis of images modeled as Gaussian Markov random fields
• Multiscale trend analysis
• Theoretical investigation of an exploratory approach for log-density in scale-space
• Statistical Scale Space Methods
• Nonparametric estimation of single-index models in scale-space
• Statistical inference and visualization in scale-space for spatially dependent images
• scientific article; zbMATH DE number 1114381 (Why is no real title available?)
• SiZer analysis for the comparison of time series
• Metrics for SiZer map comparison
• Bayesian Analysis of Time Series
• Scale space multiresolution correlation analysis for time series data
• Spectral decompositions of multiple time series: a Bayesian non-parametric approach
• Fast Bayesian inference on spectral analysis of multivariate stationary time series
• IMPROVING THE COMPUTATIONAL EFFICIENCY OF THE BAYESIAN DECOMPOSITION OF A TIME SERIES: A COMMENT
• Bayesian Spectral Modeling for Multiple Time Series
• Bayesian identification of stochastic linear systems with observations at multiple scales
• SiZer inference for varying coefficient models

Describes a project that uses

Uses Software

• GMRFLib
• SiZer

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