Adaptive spectral estimation for nonstationary multivariate time series

DOI10.1016/j.csda.2016.05.025zbMath1466.62227OpenAlexW2411834222MaRDI QIDQ1659008

Shibin Zhang

Publication date: 15 August 2018

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

Full work available at URL: https://doi.org/10.1016/j.csda.2016.05.025

zbMATH Keywords

spectral estimationWhittle likelihoodmultivariate nonstationary time seriesship vibrationsmoothing stochastic approximation Monte Carlo

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Nonparametric Bayesian inference for the spectral density based on irregularly spaced data ⋮ Automatic estimation of spatial spectra via smoothing splines ⋮ Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series ⋮ Time-varying spectral matrix estimation via intrinsic wavelet regression for surfaces of Hermitian positive definite matrices ⋮ Bayesian copula spectral analysis for stationary time series ⋮ Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach ⋮ Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series ⋮ Fast Bayesian inference on spectral analysis of multivariate stationary time series

Uses Software

• R
• S-PLUS
• astsa
• BayesSpec

Cites Work

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