Local spectral analysis via a Bayesian mixture of smoothing splines

DOI10.1198/JASA.2009.0118MaRDI QIDQ5256122zbMATH OpenOpenAlexFDO

Authors

Publication date 22 June 2015

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

Full work available at URL https://doi.org/10.1198/jasa.2009.0118

zbMATH Keywords

evolutionary spectralocally stationary time seriesmixture of splinesreversible jump Markov chain Monte Carlo

Mathematics Subject Classification ID

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

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Cited in

(25)

• Adaptive spectral estimation for nonstationary multivariate time series
• Bayesian copula spectral analysis for stationary time series
• Time-varying auto-regressive models for count time-series
• Fast Bayesian inference on spectral analysis of multivariate stationary time series
• Automatic estimation of spatial spectra via smoothing splines
• Optimally adaptive Bayesian spectral density estimation for stationary and nonstationary processes
• Identifying the recurrence of sleep apnea using a harmonic hidden Markov model
• Climate inference on daily rainfall across the Australian continent, 1876--2015
• Bayesian nonparametric spectral density estimation using B-spline priors
• Spectral decompositions of multiple time series: a Bayesian non-parametric approach
• Smoothing Spline ANOVA for Time-Dependent Spectral Analysis
• A Bayesian Curve Fitting Approach to Power Spectrum Estimation
• LOGSPLINE ESTIMATION OF A POSSIBLY MIXED SPECTRAL DISTRIBUTION
• AdaptSPEC: Adaptive spectral estimation for nonstationary time series
• A new measure between sets of probability distributions with applications to erratic financial behavior
• AdaptSPEC-X: Covariate-Dependent Spectral Modeling of Multiple Nonstationary Time Series
• Bayesian model search for nonstationary periodic time series
• Editorial: Special issue on time series analysis in the biological sciences
• Transformation to approximate independence for locally stationary Gaussian processes
• Automatic estimation of multivariate spectra via smoothing splines
• A nonparametric Bayesian model for estimating spectral densities of resting‐state EEG twin data
• Generalized linear spectral models for locally stationary processes
• Modeling nonstationary time series using locally stationary basis processes
• Bayesian Nonparametric Spectral Analysis of Locally Stationary Processes
• Nonparametric Bayesian inference for the spectral density based on irregularly spaced data

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