AdaptSPEC: Adaptive Spectral Estimation for Nonstationary Time Series

DOI10.1080/01621459.2012.716340zbMath1258.62093OpenAlexW2126401336MaRDI QIDQ4904734

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Publication date: 31 January 2013

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2012.716340

zbMATH Keywords

reversible jump Markov chain Monte CarloWhittle likelihoodelectroencephalogramlocally stationary time seriesEl Niño southern oscillations

Mathematics Subject Classification ID

Related Items (23)

Nonparametric Bayesian inference for the spectral density based on irregularly spaced data ⋮ Automatic estimation of spatial spectra via smoothing splines ⋮ Optimally adaptive Bayesian spectral density estimation for stationary and nonstationary processes ⋮ Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series ⋮ Brain waves analysis via a non-parametric Bayesian mixture of autoregressive kernels ⋮ Adaptive spectral estimation for nonstationary multivariate time series ⋮ AdaptSPEC-X: Covariate-Dependent Spectral Modeling of Multiple Nonstationary Time Series ⋮ Bayesian spectral density estimation using P-splines with quantile-based knot placement ⋮ Adaptive Bayesian Sum of Trees Model for Covariate-Dependent Spectral Analysis ⋮ Bayesian Model Search for Nonstationary Periodic Time Series ⋮ Bayesian copula spectral analysis for stationary time series ⋮ A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics ⋮ Identifying the recurrence of sleep apnea using a harmonic hidden Markov model ⋮ Time-varying auto-regressive models for count time-series ⋮ Bayesian survival analysis using gamma processes with adaptive time partition ⋮ Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series ⋮ BayesSpec ⋮ Inferring Brain Signals Synchronicity From a Sample of EEG Readings ⋮ Bayesian nonparametric spectral density estimation using B-spline priors ⋮ Conditional adaptive Bayesian spectral analysis of nonstationary biomedical time series ⋮ Minimum distance estimation of locally stationary moving average processes ⋮ Fast Bayesian inference on spectral analysis of multivariate stationary time series ⋮ A new measure between sets of probability distributions with applications to erratic financial behavior

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