3 citations · 3 across the 3 of their papers we have counts for
3 papers
Asymptotic considerations in a Bayesian linear model with nonparametrically modelled time series innovations
Claudia Kirch, Alexander Meier, Renate Meyer +1
This paper considers a semiparametric approach within the general Bayesian linear model where the innovations consist of a stationary, mean zero Gaussian time series. While a param…
Bayesian Nonparametric Analysis of Multivariate Time Series: A Matrix Gamma Process Approach
Alexander Meier, Claudia Kirch, Renate Meyer
While there is an increasing amount of literature about Bayesian time series analysis, only a few Bayesian nonparametric approaches to multivariate time series exist. Most methods…
Beyond Whittle: Nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
Claudia Kirch, Matthew C. Edwards, Alexander Meier +1
The Whittle likelihood is widely used for Bayesian nonparametric estimation of the spectral density of stationary time series. However, the loss of efficiency for non-Gaussian time…