Bayesian Nonparametric Spectral Analysis of Locally Stationary Processes
局部平稳过程的贝叶斯非参数谱分析
Stationarity plays a pivotal role in time series analysis. It is not only the basis for the derivation of general asymptotic theory but it also allows an efficient analysis in the frequency domain via the Whittle likelihood, based on the asymptotic independence of the Fourier coefficients. However, many regularly sampled data derived from the observation of physical or ecological processes, for instance, are only locally stationary. They exhibit slowly evolving spectra and…