A Hierarchical Approach to Covariance Function Estimation for Time Series

DOI10.1111/1467-9892.00222zbMath0978.62075OpenAlexW2134045175MaRDI QIDQ2740034

Noel Cressie, Michael J. Daniels

Publication date: 16 September 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00222

zbMATH Keywords

Bayesian statisticsspectral densityshrinkageMCMClynx data

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (5)

A class of shrinkage priors for the dependence structure in longitudinal data ⋮ Estimation of Systematic and Spatially Correlated Components of Random Signals from Repeated Measurements: Application to Contrast Enhanced Computer Tomography Measurements ⋮ Structural shrinkage of nonparametric spectral estimators for multivariate time series ⋮ MCMC for Integer-Valued ARMA processes ⋮ Shrinkage Estimators for Covariance Matrices

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