Spectral decompositions of multiple time series: a Bayesian non-parametric approach

DOI10.1007/s11336-013-9354-0zbMath1284.62727OpenAlexW2086225851WikidataQ37585979 ScholiaQ37585979MaRDI QIDQ2443320

Christian Macaro, Raquel Prado

Publication date: 7 April 2014

Published in: Psychometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11336-013-9354-0

zbMATH Keywords

Bayesian nonparametricsBernstein-Dirichlet priorsspectral one-way and two-way modelsWhittle's approximation

Mathematics Subject Classification ID

Applications of statistics to psychology (62P15)

Related Items (7)

Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series ⋮ Brain waves analysis via a non-parametric Bayesian mixture of autoregressive kernels ⋮ AdaptSPEC-X: Covariate-Dependent Spectral Modeling of Multiple Nonstationary Time Series ⋮ Factor modeling of multivariate time series: a frequency components approach ⋮ Bayesian Spectral Modeling for Multiple Time Series ⋮ Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series ⋮ Bayesian nonparametric spectral density estimation using B-spline priors

Uses Software

• R
• Mcmcpack
• astsa

Cites Work

• Bayesian non-parametric signal extraction for Gaussian time series
• A Bayesian nonparametric approach to test equating
• Estimation of spectral density of a stationary time series via an asymptotic of the periodogram
• Bayesian curve-fitting with free-knot splines
• Bayesian semiparametric inference on long-range dependence
• Bayesian density estimation using bernstein polynomials
• Forecasting Using Principal Components From a Large Number of Predictors
• Detecting Common Signals in Multiple Time Series Using the Spectral Envelope
• Bayesian Estimation of the Spectral Density of a Time Series
• Random Bernstein Polynomials
• Boundary performance of the beta kernel estimators
• Local Spectral Analysis via a Bayesian Mixture of Smoothing Splines
• Automatic estimation of multivariate spectra via smoothing splines
• Applied Regression and Analysis of Variance for Stationary Time Series
• The Generalized Dynamic Factor Model
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Spectral decompositions of multiple time series: a Bayesian non-parametric approach