Nonparametric Spectral Density Estimation Using Penalized Whittle Likelihood

DOI10.2307/2290863MaRDI QIDQ4305732zbMATH OpenOpenAlexFDO

Authors Y. Pawitan, Finbarr O'Sullivan

Publication date 6 February 1995

Full work available at URL https://doi.org/10.2307/2290863

zbMATH Keywords

adaptive smoothingAICalgorithmARMA spectral density estimatorsasymptotic linearizationasymptotic rates of convergencecross- validationdata-dependent procedureempirical rates of convergenceintegrated squared erroriterative least squareslog-periodogramlog-spectral densitiesmoving average processespenalized likelihood approachregularizationsimulation studysmoothed periodogramsmoothingstationary processestime series

Mathematics Subject Classification ID

Density estimation (62G07) Inference from stochastic processes and spectral analysis (62M15) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(28)

• Spatial interpolation of high-frequency monitoring data
• Brain waves analysis via a non-parametric Bayesian mixture of autoregressive kernels
• Penalised quantile periodogram for spectral estimation
• Bayesian mixture modeling for spectral density estimation
• Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
• A formal test for nonstationarity of spatial stochastic processes
• Spectral density estimation with amplitude modulation and outlier detection
• Bayesian spectral density estimation using P-splines with quantile-based knot placement
• Penalized Whittle likelihood for spatial data
• Conditional adaptive Bayesian spectral analysis of nonstationary biomedical time series
• A Note on Whittle's Likelihood
• Automatic estimation of the cross-spectrum of a bivariate time series
• Automatic Local Smoothing for Spectral Density Estimation
• Using \(M\)-type smoothing splines to estimate the spectral density of a stationary time series
• LOGSPLINE ESTIMATION OF A POSSIBLY MIXED SPECTRAL DISTRIBUTION
• Local Whittle likelihood approach for generalized divergence
• Bayesian Spectral Modeling for Multiple Time Series
• Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series
• Spectral Estimation Using Multitaper Whittle Methods With a Lasso Penalty
• Penalized multivariate Whittle likelihood for power spectrum estimation
• Posterior consistency for the spectral density of non‐Gaussian stationary time series
• Nonparametric spectral analysis of heart rate variability through penalized sum of squares
• Spectral density estimation in time series analysis for dynamical systems
• A new approach to nonparametric estimation of multivariate spectral density function using basis expansion
• Nonparametric collective spectral density estimation with an application to clustering the brain signals
• Bayesian Nonparametric Spectral Analysis of Locally Stationary Processes
• A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network
• Nonparametric spectral analysis with applications to seizure characterization using EEG time series

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Uses Software

• AS 197
• AS 183

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