相关论文: Adaptive Bayesian Spectral Analysis of High-dimens…

This article introduces a nonparametric approach to multivariate time-varying power spectrum analysis. The procedure adaptively partitions a time series into an unknown number of approximately stationary segments, where some spectral…

Many studies of biomedical time series signals aim to measure the association between frequency-domain properties of time series and clinical and behavioral covariates. However, the time-varying dynamics of these associations are largely…

Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral technique which jointly models the non-stationarity and…

We present a method for the joint analysis of a panel of possibly nonstationary time series. The approach is Bayesian and uses a covariate-dependent infinite mixture model to incorporate multiple time series, with mixture components…

The frequency-domain properties of nonstationary functional time series often contain valuable information. These properties are characterized through its time-varying power spectrum. Practitioners seeking low-dimensional summary measures…

Information from frequency bands in biomedical time series provides useful summaries of the observed signal. Many existing methods consider summaries of the time series obtained over a few well-known, pre-defined frequency bands of…

While there is an increasing amount of literature about Bayesian time series analysis, only a few Bayesian nonparametric approaches to multivariate time series exist. Most methods rely on Whittle's Likelihood, involving the second order…

Time-series analysis is critical for a diversity of applications in science and engineering. By leveraging the strengths of modern gradient descent algorithms, the Fourier transform, multi-resolution analysis, and Bayesian spectral…

Based on a novel dynamic Whittle likelihood approximation for locally stationary processes, a Bayesian nonparametric approach to estimating the time-varying spectral density is proposed. This dynamic frequency-domain based likelihood…

In this paper, we introduce a method for segmenting time series data using tools from Bayesian nonparametrics. We consider the task of temporal segmentation of a set of time series data into representative stationary segments. We use…

Interpretable classification of time series presents significant challenges in high dimensions. Traditional feature selection methods in the frequency domain often assume sparsity in spectral density matrices (SDMs) or their inverses, which…

This article considers a nonparametric method for detecting change points in non-stationary time series. The proposed method will divide the time series into several segments so that between two adjacent segments, the normalized spectral…

Vector autoregressive (VAR) models are popularly adopted for modelling high-dimensional time series, and their piecewise extensions allow for structural changes in the data. In VAR modelling, the number of parameters grow quadratically with…

This article introduces a flexible and adaptive nonparametric method for estimating the association between multiple covariates and power spectra of multiple time series. The proposed approach uses a Bayesian sum of trees model to capture…

In this paper, we consider the nonstationary matrix-valued time series with common stochastic trends. Unlike the traditional factor analysis which flattens matrix observations into vectors, we adopt a matrix factor model in order to fully…

We propose a novel approach for change-point detection and parameter learning in multivariate non-stationary time series exhibiting oscillatory behaviour. We approximate the process through a piecewise function defined by a sum of…

We propose a novel Bayesian methodology for analyzing nonstationary time series that exhibit oscillatory behaviour. We approximate the time series using a piecewise oscillatory model with unknown periodicities, where our goal is to estimate…

Given discrete time observations over a fixed time interval, we study a nonparametric Bayesian approach to estimation of the volatility coefficient of a stochastic differential equation. We postulate a histogram-type prior on the volatility…

The analysis of nonstationary time series is of great importance in many scientific fields such as physics and neuroscience. In recent years, Gaussian process regression has attracted substantial attention as a robust and powerful method…

This article introduces novel and practicable Bayesian factor analysis frameworks that are computationally feasible for moderate to large spatiotemporal data. Previous Bayesian analysis of spatiotemporal data has utilized a Bayesian factor…