scientific article; zbMATH DE number 1086083

MaRDI QIDQ4364008zbMATH OpenFDO

Authors Chris Carter, Robert Kohn

Publication date 18 June 1998

zbMATH Keywords

trendKalman filterMarkov chain Monte Carlomissing dataMetropolis-Hastings algorithmfrequency estimationstationary seriesmixture of normalssinusoidsreduced conditionals

Mathematics Subject Classification ID

Bayesian inference (62F15) Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and spectral analysis (62M15)

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(20)

• Bayesian spectral density estimation using P-splines with quantile-based knot placement
• Random field priors for spectral density functions
• Spatial regression with non-parametric modeling of Fourier coefficients
• Bayesian multiscale feature detection of log-spectral densities
• Bayesian Estimation of the Spectral Density of a Time Series
• AdaptSPEC-X: Covariate-Dependent Spectral Modeling of Multiple Nonstationary Time Series
• Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach
• Bayesian nonparametric spectral density estimation using B-spline priors
• Optimally adaptive Bayesian spectral density estimation for stationary and nonstationary processes
• Bayesian non-parametric signal extraction for Gaussian time series
• Efficient data augmentation techniques for some classes of state space models
• Bayesian time series regression with nonparametric modeling of autocorrelation
• Bayesian mixture modeling for spectral density estimation
• Spectral decompositions of multiple time series: a Bayesian non-parametric approach
• Fast Bayesian inference on spectral analysis of multivariate stationary time series
• Bayesian inference on periodicities and component spectral structure in time series
• Bayesian Spectral Modeling for Multiple Time Series
• Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
• Efficient MCMC sampling in dynamic mixture models
• Auxiliary mixture sampling with applications to logistic models

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