104 citations · 247 across the 19 of their papers we have counts for
Showing 2023 · stat.MEShow all
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stat.ME2023★ 1 cited
A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series
Yixuan Liu, Claudia Kirch, Jeong Eun Lee +1
This paper presents a novel approach to Bayesian nonparametric spectral analysis of stationary multivariate time series. Starting with a parametric vector-autoregressive model, the…
stat.ME2023
Bayesian nonparametric spectral analysis of locally stationary processes
Yifu Tang, Claudia Kirch, Jeong Eun Lee +1
Based on a novel dynamic Whittle likelihood approximation for locally stationary processes, a Bayesian nonparametric approach to estimating the time-varying spectral density is pro…