Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series

DOI10.1080/10618600.2020.1868305OpenAlexW3119267857MaRDI QIDQ5066467

Robert T. Krafty, Zeda Li, Ori Rosen, Fabio Ferrarelli

Publication date: 29 March 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.12126

zbMATH Keywords

spectral analysisfactor analysishigh-dimensional time serieslocally stationary processstochastic approximation Monte Carlomultiplicative gamma process

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Fast Bayesian inference on spectral analysis of multivariate stationary time series

Uses Software

• astsa
• TMSEEG
• BayesSpec

Cites Work

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