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LOGSPLINE ESTIMATION OF A POSSIBLY MIXED SPECTRAL DISTRIBUTION
Author(s) -
Kooperberg Charles,
Stone Charles J.,
Truong Young K.
Publication year - 1995
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1995.tb00240.x
Subject(s) - mathematics , bayesian information criterion , bayes' theorem , maximum likelihood , series (stratigraphy) , basis (linear algebra) , maximum entropy spectral estimation , statistics , information criteria , model selection , bayesian probability , principle of maximum entropy , paleontology , geometry , biology
. Cubic splines and indicator functions are used to estimate the spectral density function and line spectrum, respectively, for a stationary time series. A fully automatic procedure involving maximum likelihood, stepwise addition and deletion of basis functions, and the Bayes information criterion (BIC) is used to select the final model.