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AdaptSPEC: Adaptive Spectral Estimation for Nonstationary Time Series

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  • Ori Rosen
  • Sally Wood
  • David S. Stoffer
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    Abstract

    We propose a method for analyzing possibly nonstationary time series by adaptively dividing the time series into an unknown but finite number of segments and estimating the corresponding local spectra by smoothing splines. The model is formulated in a Bayesian framework, and the estimation relies on reversible jump Markov chain Monte Carlo (RJMCMC) methods. For a given segmentation of the time series, the likelihood function is approximated via a product of local Whittle likelihoods. Thus, no parametric assumption is made about the process underlying the time series. The number and lengths of the segments are assumed unknown and may change from one MCMC iteration to another. The frequentist properties of the method are investigated by simulation, and applications to electroencephalogram and the El Ni�o Southern Oscillation phenomenon are described in detail.

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Journal of the American Statistical Association.

    Volume (Year): 107 (2012)
    Issue (Month): 500 (December)
    Pages: 1575-1589

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    Handle: RePEc:taf:jnlasa:v:107:y:2012:i:500:p:1575-1589

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    Cited by:
    1. Proietti, Tommaso & Luati, Alessandra, 2013. "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," MPRA Paper 45280, University Library of Munich, Germany.

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