Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach

DOI10.1016/j.jmva.2019.104560zbMath1475.62156arXiv1811.10292WikidataQ123417515 ScholiaQ123417515MaRDI QIDQ2293389

Claudia Kirch, Renate Meyer, Alexander Meier

Publication date: 5 February 2020

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.10292

zbMATH Keywords

Bayesian nonparametrics; spectral density; completely random measures; stationary multivariate time series

Mathematics Subject Classification ID

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

60G15: Gaussian processes

62G20: Asymptotic properties of nonparametric inference

62M15: Inference from stochastic processes and spectral analysis

Uses Software

• astsa
• beyondWhittle