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Bayesian Estimation of the Spectral Density of a Time Series


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  • Nidhan Choudhuri
  • Subhashis Ghosal
  • Anindya Roy
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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

    Volume (Year): 99 (2004)
    Issue (Month): (December)
    Pages: 1050-1059

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    Handle: RePEc:bes:jnlasa:v:99:y:2004:p:1050-1059

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    Cited by:
    1. Christian Macaro & Raquel Prado, 2014. "Spectral Decompositions of Multiple Time Series: A Bayesian Non-parametric Approach," Psychometrika, Springer, vol. 79(1), pages 105-129, January.
    2. Macaro, Christian, 2010. "Bayesian non-parametric signal extraction for Gaussian time series," Journal of Econometrics, Elsevier, vol. 157(2), pages 381-395, August.
    3. Osman, Muhtarjan & Ghosh, Sujit K., 2012. "Nonparametric regression models for right-censored data using Bernstein polynomials," Computational Statistics & Data Analysis, Elsevier, vol. 56(3), pages 559-573.
    4. Sørbye, Sigrunn H. & Hindberg, Kristian & Olsen, Lena R. & Rue, Håvard, 2009. "Bayesian multiscale feature detection of log-spectral densities," Computational Statistics & Data Analysis, Elsevier, vol. 53(11), pages 3746-3754, September.
    5. Alessandra Luati & Tommaso Proietti & Marco Reale, 2012. "The Variance Profile," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 607-621, June.
    6. Taeryon Choi, 2009. "Asymptotic properties of posterior distributions in nonparametric regression with non-Gaussian errors," Annals of the Institute of Statistical Mathematics, Springer, vol. 61(4), pages 835-859, December.
    7. Alexandre Leblanc, 2012. "On estimating distribution functions using Bernstein polynomials," Annals of the Institute of Statistical Mathematics, Springer, vol. 64(5), pages 919-943, October.


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