Spectral Subsampling MCMC for Stationary Multivariate Time Series with Applications to Vector ARTFIMA Processes
平稳多元时间序列的频谱子抽样 MCMC 及向量 ARTFIMA 应用
Spectral subsampling MCMC was recently proposed to speed up Markov chain Monte Carlo (MCMC) for long stationary univariate time series by subsampling periodogram observations in the frequency domain. This article extends the approach to multivariate time series using a multivariate generalisation of the Whittle likelihood. To assess the computational gains from spectral subsampling in challenging problems, a multivariate generalisation of the autoregressive tempered…