Bayesian non-parametric signal extraction for Gaussian time series
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Publication:736535
DOI10.1016/j.jeconom.2010.03.041zbMath1431.62435OpenAlexW2045398387MaRDI QIDQ736535
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.041
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Inference from stochastic processes and spectral analysis (62M15)
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Spectral decompositions of multiple time series: a Bayesian non-parametric approach ⋮ Bayesian nonparametric spectral density estimation using B-spline priors
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Cites Work
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