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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. Luati, Alessandra & Proietti, Tommaso & Reale, Marco, 2011. "The Variance Profile," MPRA Paper 30378, University Library of Munich, Germany.
    2. 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.
    3. 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.
    4. Macaro, Christian, 2010. "Bayesian non-parametric signal extraction for Gaussian time series," Journal of Econometrics, Elsevier, vol. 157(2), pages 381-395, August.

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