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Register a new userBayesian nonparametric spectral density estimation using B-spline priors
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Matthew Charles Edwards
Publication date
2017
fields
Mathematical Statistics
and research's language is
English
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We present a new Bayesian nonparametric approach to estimating the spectral density of a stationary time series. A nonparametric prior based on a mixture of B-spline distributions is specified and can be regarded as a generalization of the Bernstein polynomial prior of Petrone (1999a,b) and Choudhuri et al. (2004). Whittles likelihood approximation is used to obtain the pseudo-posterior distribution. This method allows for a data-driven choice of the number of mixture components and the location of knots. Posterior samples are obtained using a Metropolis-within-Gibbs Markov chain Monte Carlo algorithm, and mixing is improved using parallel tempering. We conduct a simulation study to demonstrate that for complicated spectral densities, the B-spline prior provides more accurate Monte Carlo estimates in terms of $L_1$-error and uniform coverage probabilities than the Bernstein polynomial prior. We apply the algorithm to annual mean sunspot data to estimate the solar cycle. Finally, we demonstrate the algorithms ability to estimate a spectral density with sharp features, using real gravitational wave detector data from LIGOs sixth science run, recoloured to match the Advanced LIGO target sensitivity.
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