31 citations · 43 across the 9 of their papers we have counts for
3 papers · 1 filter
Spectral analysis of multivariate stationary Hawkes processes
Yifu Tang, Conor Kresin, Boris Baeumer +1
We establish the asymptotic validity of frequency-domain inference for stationary multivariate Hawkes processes under mild conditions, bridging the gap between theory and applicati…
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…
Posterior consistency for the spectral density of non-Gaussian stationary time series
Yifu Tang, Claudia Kirch, Jeong Eun Lee +1
Various nonparametric approaches for Bayesian spectral density estimation of stationary time series have been suggested in the literature, mostly based on the Whittle likelihood ap…