Bayesian Inference on Periodicities and Component Spectral Structure in Time Series

@inproceedings{Huerta1999BayesianIO,
  title={Bayesian Inference on Periodicities and Component Spectral Structure in Time Series},
  author={Gabriel Huerta and M. A. West},
  year={1999}
}
We detail and illustrate time series analysis and spectral inference in autoregressive models with a focus on the underlying latent structure and time series decompositions. A novel class of priors on parameters of latent components leads to a new class of smoothness priors on autoregressive coefficients, provides for formal inference on model order, including very high order models, and leads to the incorporation of uncertainty about model order into summary inferences. The class of prior… CONTINUE READING

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