Local Spectral Analysis via a Bayesian Mixture of Smoothing Splines

DOI10.1198/jasa.2009.0118zbMath1388.62268OpenAlexW2055422597MaRDI QIDQ5256122

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Publication date: 22 June 2015

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jasa.2009.0118

zbMATH Keywords

evolutionary spectrareversible jump Markov chain Monte Carlolocally stationary time seriesmixture of splines

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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