宠辱不惊淡看庭前花开花谢, 去留 ...分享 http://blog.sciencenet.cn/u/zhangshibin 专业: 概率论与数理统计 研究方向: 时空数据统计分析,包括随机过程统计、时间序列分析、空间统计、统计计算、贝叶斯统计等

博文

NW: Adaptive spectral estimation

已有 2700 次阅读 2016-6-8 19:48 |个人分类:学术交流|系统分类:论文交流

http://dx.doi.org/10.1016/j.csda.2016.05.025

Adaptive spectral estimation for nonstationary multivariate time series
  • Department of Mathematics, Shanghai Maritime University, 1550 Haigang Avenue In New Harbor City, Shanghai 201306, China

Received 1 April 2015, Revised 30 May 2016, Accepted 31 May 2016, Available online 7 June 2016doi:10.1016/j.csda.2016.05.025Get rights and content
Abstract

Following the nonstationary univariate time series model of Rosen et al. (2012), we propose an adaptive estimation of time-varying spectra and cross-spectra for analyzing possibly nonstationary multivariate time series. Under the Bayesian framework, the estimation is implemented by smoothing stochastic approximation Monte Carlo (SSAMC) methods. We show by simulation study that the proposed method achieves good performance for time series whether changing abruptly or smoothly. The superiority to the other existing methods is also investigated. An application to longitudinal vibration data of the containership provides a wave-approach angle range, which should be recommended when sailing under a harsh sea condition.

Keywords
  • Multivariate nonstationary time series;

  • Ship vibration;

  • Smoothing stochastic approximation Monte Carlo;

  • Spectral estimation;

  • Whittle likelihood

http://dx.doi.org/10.1016/j.csda.2016.05.025

http://dx.doi.org/10.1016/j.csda.2016.05.025



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