An Empirical Bayes Approach for Estimating the Mean of N Stationary Time Series
估计多条平稳时间序列均值函数的经验贝叶斯方法
An empirical Bayes procedure is considered for estimating a mean value function imbedded within a collection of N stationary time series. Two cases are considered: a mean value function that is a fixed function of time and one that is a stationary normal process. Estimators for the spectral densities are derived from prior data using an extension to time series of the usual one-way analysis of variance. These estimators are inserted into approximations for the classical…