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

regularizationsmoothingtime seriesAICalgorithmsimulation studystationary processesintegrated squared errorsmoothed periodogrammoving average processesadaptive smoothingasymptotic rates of convergenceasymptotic linearizationcross- validationiterative least squareslog-periodogrampenalized likelihood approachARMA spectral density estimatorsdata-dependent procedureempirical rates of convergencelog-spectral densities

Mathematics Subject Classification ID

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

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Cited in

(26)

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

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Uses Software

• AS 183
• AS 197

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