Bayesian mixture modeling for spectral density estimation

DOI10.1016/J.SPL.2017.02.008zbMATH Open1380.62237OpenAlexW2588602095MaRDI QIDQ2407784FDOQ2407784

Authors: Annalisa Cadonna, Athanasios Kottas, Raquel Prado 

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.02.008

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zbMATH Keywords

Markov chain Monte CarloWhittle likelihoodnormal mixtureslogistic mixture weights

Mathematics Subject Classification ID

Bayesian inference (62F15) Density estimation (62G07) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Bayesian Inference for Logistic Models Using Pólya–Gamma Latent Variables
• Bayesian Estimation of the Spectral Density of a Time Series
• On Estimation of a Probability Density Function and Mode
• Hierarchical mixtures-of-experts for exponential family regression models: Approximation and maximum likelihood estimation
• Approximation of conditional densities by smooth mixtures of regressions
• Automatic Smoothing of the Log Periodogram
• Nonparametric Spectral Density Estimation Using Penalized Whittle Likelihood
• Automatic estimation of multivariate spectra via smoothing splines
• Bayesian decision theoretic scale-adaptive estimation of a log-spectral density
• Title not available (Why is that?)
• Title not available (Why is that?)
• A Note on Whittle's Likelihood

Cited In (18)

• A method of spectral mixture analysis based on the Gaussian Markov random field model
• Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
• Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach
• Bayesian multiscale feature detection of log-spectral densities
• Regularized estimation of mixed spectra using a circular Gibbs-Markov model
• Local spectral analysis via a Bayesian mixture of smoothing splines
• Posterior consistency for the spectral density of non‐Gaussian stationary time series
• The Spectral Method for General Mixture Models
• Spectral likelihood expansions for Bayesian inference
• Bayesian Spectral Modeling for Multiple Time Series
• Optimally adaptive Bayesian spectral density estimation for stationary and nonstationary processes
• A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series
• Brain waves analysis via a non-parametric Bayesian mixture of autoregressive kernels
• Bayesian decision theoretic scale-adaptive estimation of a log-spectral density
• Bayesian spectral density estimation using P-splines with quantile-based knot placement
• Bayesian nonparametric spectral density estimation using B-spline priors
• Spectral density-based and measure-preserving ABC for partially observed diffusion processes. An illustration on Hamiltonian SDEs
• Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series

Uses Software

• BayesLogit

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