Bayesian multiscale feature detection of log-spectral densities

Sigrunn H. Sørbye, Kristian Hindberg, Lena R. Olsen and Håvard Rue

Computational Statistics & Data Analysis, 2009, vol. 53, issue 11, 3746-3754

Abstract: A fully-automatic Bayesian visualization tool to identify periodic components of evenly sampled stationary time series, is presented. The given method applies the multiscale ideas of the SiZer-methodology to the log-spectral density of a given series. The idea is to detect significant peaks in the true underlying curve viewed at different resolutions or scales. The results are displayed in significance maps, illustrating for which scales and for which frequencies, peaks in the log-spectral density are detected as significant. The inference involved in producing the significance maps is performed using the recently developed simplified Laplace approximation. This is a Bayesian deterministic approach used to get accurate estimates of posterior marginals for latent Gaussian Markov random fields at a low computational cost, avoiding the use of Markov chain Monte Carlo techniques. Application of the given exploratory tool is illustrated analyzing both synthetic and real time series.

Date: 2009
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