A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series

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Title

A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series

Content partner

The University of Auckland Library

Collection

ResearchSpace@Auckland

Description

Anovel approach to Bayesian nonparametric spectral analysis of stationary multivariate time series is presented. Starting with a parametric vector-autoregressive model, the parametric likelihood is nonparametrically adjusted in the frequency domain to account for potential deviations from parametric assumptions. A proof of mutual contiguity of the nonparametrically corrected likelihood, the multivariate Whittle likelihood approximation and the exact likelihood for Gaussian time series is give...

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Format

Research paper

Research format

Journal article

Date created

2024-11

Creator

Liu, Yixuan / Kirch, Claudia / Lee, Jeong Eun / Meyer, Renate

URL

https://hdl.handle.net/2292/69791

Related subjects

Science & Technology / Technology / Physical Sciences / Computer Science, Interdisciplinary Applications / Statistics & Probability / Computer Science / Mathematics / Multivariate time series / Spectral analysis / Whittle likelihood / Bayesian nonparametrics / Completely random measures / Markov chain Monte Carlo / MARKOV-CHAINS / BOOTSTRAP / DENSITY / MATRIX / 0104 Statistics / 0802 Computation Theory and Mathematics / 1403 Econometrics / 3802 Econometrics / 4905 Statistics

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