Bayesian nonparametric spectral density estimation using B-spline priors

@article{Edwards2019BayesianNS,
  title={Bayesian nonparametric spectral density estimation using B-spline priors},
  author={Matthew C. Edwards and Renate Meyer and Nelson Christensen},
  journal={Statistics and Computing},
  year={2019},
  volume={29},
  pages={67-78}
}
We present a new Bayesian nonparametric approach to estimating the spectral density of a stationary time series. A nonparametric prior based on a mixture of B-spline distributions is specified and can be regarded as a generalization of the Bernstein polynomial prior of Petrone (Scand J Stat 26:373–393, 1999a; Can J Stat 27:105–126, 1999b) and Choudhuri et al. (J Am Stat Assoc 99(468):1050–1059, 2004). Whittle’s likelihood approximation is used to obtain the pseudo-posterior distribution. This… 
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