A smoothness priors long AR model method for spectral estimation
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Publication:3217483
DOI10.1109/TAC.1985.1103786zbMath0554.62080MaRDI QIDQ3217483
Genshiro Kitagawa, Will Gersch
Publication date: 1985
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
likelihoodspectral estimationBayesianNumerical examplessimulation studiessmoothness constraintsentropy comparisonintegrated squared derivatives of the AR model whitening filterminimum AIC-AR methodssmoothness priors long AR model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Inference from stochastic processes and spectral analysis (62M15)
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