Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series
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Publication:5229927
DOI10.1080/01621459.2017.1415908zbMATH Open1478.62262arXiv1706.05661OpenAlexW2785189499WikidataQ92477393 ScholiaQ92477393MaRDI QIDQ5229927FDOQ5229927
Authors: Zeda Li, Robert T. Krafty 
Publication date: 19 August 2019
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Abstract: This article introduces a nonparametric approach to multivariate time-varying power spectrum analysis. The procedure adaptively partitions a time series into an unknown number of approximately stationary segments, where some spectral components may remain unchanged across segments, allowing components to evolve differently over time. Local spectra within segments are fit through Whittle likelihood based penalized spline models of modified Cholesky components, which provide flexible nonparametric estimates that preserve positive definite structures of spectral matrices. The approach is formulated in a Bayesian framework, in which the number and location of partitions are random, and relies on reversible jump Markov chain and Hamiltonian Monte Carlo methods that can adapt to the unknown number of segments and parameters. By averaging over the distribution of partitions, the approach can approximate both abrupt and slow-varying changes in spectral matrices. Empirical performance is evaluated in simulation studies and illustrated through analyses of electroencephalography during sleep and of the El Ni~no-Southern Oscillation.
Full work available at URL: https://arxiv.org/abs/1706.05661
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reversible jump Markov chain Monte Carlospectral analysispenalized splinesmodified Cholesky decompositionlocally stationary processnonstationary multivariate time series
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
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Cited In (22)
- AdaptSPEC-X: Covariate-Dependent Spectral Modeling of Multiple Nonstationary Time Series
- Fast Bayesian inference on spectral analysis of multivariate stationary time series
- Adaptive Bayesian Sum of Trees Model for Covariate-Dependent Spectral Analysis
- Nonparametric Bayesian inference for the spectral density based on irregularly spaced data
- State-space multitaper time-frequency analysis
- Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach
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- Automatic estimation of spatial spectra via smoothing splines
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- Bayesian model search for nonstationary periodic time series
- Empirical frequency band analysis of nonstationary time series
- Conditional adaptive Bayesian spectral analysis of replicated multivariate time series
- Time-varying spectral matrix estimation via intrinsic wavelet regression for surfaces of Hermitian positive definite matrices
- Spectra in low‐rank localized layers (SpeLLL) for interpretable time–frequency analysis
- Conditional adaptive Bayesian spectral analysis of nonstationary biomedical time series
- Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series
- Bayesian Variable Selection and Regularization for Time–Frequency Surface Estimation
- Penalized multivariate Whittle likelihood for power spectrum estimation
- AdaptSPEC: Adaptive spectral estimation for nonstationary time series
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