Bayesian multiscale feature detection of log-spectral densities

DOI10.1016/j.csda.2009.03.020zbMath1453.62204OpenAlexW2091409474MaRDI QIDQ961849

Kristian Hindberg, Håvard Rue, Sigrunn H. Sørbye, Lena Ringstad Olsen

Publication date: 1 April 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2009.03.020

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Statistical inference and visualization in scale-space using local likelihood, Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations, Nonparametric estimation of a log-variance function in scale-space, Statistical Scale Space Methods, Scale space methods for analysis of type 2 diabetes patients' blood glucose values, An exploratory data analysis in scale-space for interval-valued data

Uses Software

• GMRFLib
• INLA
• wmtsa
• SiZer

Cites Work

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• Mathematical Considerations in the Estimation of Spectra
• The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing
• Automatic Smoothing of the Log Periodogram
• SiZer for Exploration of Structures in Curves
• Bayesian Estimation of the Spectral Density of a Time Series
• Gaussian Markov Random Fields
• Advanced Distribution Theory for SiZer
• Time Series