Bayesian multiscale analysis for time series data

DOI10.1016/j.csda.2006.07.034zbMath1157.62362OpenAlexW2087104924MaRDI QIDQ1010521

Fred Godtliebsen, Tor Arne Øigård, Håvard Rue

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.07.034

zbMATH Keywords

sparse matricesstatistical inferencetime series analysismultiscale analysissizerGaussian Markov random fields

Mathematics Subject Classification ID

Related Items (14)

Statistical inference and visualization in scale-space using local likelihood ⋮ SiZer Inference for Varying Coefficient Models ⋮ Nonparametric estimation of a log-variance function in scale-space ⋮ Statistical Scale Space Methods ⋮ Theoretical investigation of an exploratory approach for log-density in scale-space ⋮ Scale space methods for analysis of type 2 diabetes patients' blood glucose values ⋮ Bayesian multiscale analysis of images modeled as Gaussian Markov random fields ⋮ An exploratory data analysis in scale-space for interval-valued data ⋮ Bayesian multiscale feature detection of log-spectral densities ⋮ SiZer analysis for the comparison of time series ⋮ Statistical inference and visualization in scale-space for spatially dependent images ⋮ Nonparametric estimation of single-index models in scale-space ⋮ Multiscale spectral analysis for detecting short and long range change points in time series ⋮ Bayesian identification of stochastic linear systems with observations at multiple scales

Uses Software

• GMRFLib
• SiZer

Cites Work

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• Fast Sampling of Gaussian Markov Random Fields
• Approximate Bayesian inference for hierarchical Gaussian Markov random field models
• A visual display device for significant features in complicated signals
• The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing
• A New Algorithm for Spline Smoothing Based on Smoothing a Stochastic Process
• On Block Updating in Markov Random Field Models for Disease Mapping
• SiZer for Exploration of Structures in Curves
• Gaussian Markov Random Fields

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