Semiparametric Bayesian Inference for Time Series with Mixed Spectra

C. K. Carter and Robert Kohn ()

Journal of the Royal Statistical Society Series B, 1997, vol. 59, issue 1, 255-268

Abstract: A Bayesian analysis is presented of a time series which is the sum of a stationary component with a smooth spectral density and a deterministic component consisting of a linear combination of a trend and periodic terms. The periodic terms may have known or unknown frequencies. The advantage of our approach is that different features of the data—such as the regression parameters, the spectral density, unknown frequencies and missing observations—are combined in a hierarchical Bayesian framework and estimated simultaneously. A Bayesian test to detect deterministic components in the data is also constructed. By using an asymptotic approximation to the likelihood, the computation is carried out efficiently using the Markov chain Monte Carlo method in O(Mn) operations, where nis the sample size and Mis the number of iterations. We show empirically that our approach works well on real and simulated samples.

Date: 1997
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