Bayesian nonparametric spectral analysis of locally stationary processes

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Title

Bayesian nonparametric spectral analysis of locally stationary processes

Content partner

University of Otago

Collection

Otago University Research Archive

Description

Stationarity plays a pivotal role in time series analysis. It is not only the basis for the derivation of general asymptotic theory but it also allows an efficient analysis in the frequency domain via the Whittle likelihood, based on the asymptotic independence of the Fourier coefficients. However, many regularly sampled data derived from the observation of physical or ecological processes, for instance, are only locally stationary. They exhibit slowly evolving spectra and asymptotically non-...

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Format

Research paper

Research format

dataset / Dataset

Date created

2025-12-10

Creator

Tang, Yifu / Kirch, Claudia / Lee, Jeong Eun / Meyer, Renate

URL

https://hdl.handle.net/10523/49226

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