Bayesian estimation of the spectral density of a time series

Journal of the American Statistical Association

Volumn 99, Issue 468, 2004, Pages 1050-1059

  Choudhuri, Nidhan ^a   Ghosal, Subhashis ^b   Roy, Anindya ^c  

^a CASE WESTERN RESERVE UNIVERSITY   (United States)

^b NORTH CAROLINA STATE UNIVERSITY   (United States)

^c UNIVERSITY OF MARYLAND BALTIMORE COUNTY   (United States)

Author keywords

Bernstein polynomial; Dirichlet process; Metropolis algorithm; Periodogram; Posterior consistency; Posterior distribution; Spectral density; Time series

Indexed keywords

EID: 10844258859     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214504000000557     Document Type: Article

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