Spectral density estimation using P-spline priors
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This article proposes a Bayesian approach to estimating the spectral density of a stationary time series using a prior based on a mixture of P-spline distributions. Our proposal is motivated by the B-spline Dirichlet process prior of Edwards et al. (2018a) in combination with Whittle's likelihood and aims at reducing the high computational complexity of its posterior computations. The strength of the B-spline Dirichlet process prior over the Bernstein-Dirichlet process prior of Choudhuri et al. (2004) lies in its ability to estimate spectral densities with sharp peaks and abrupt changes due to the flexibility of B-splines with variable number and location of knots. Here, we suggest to use P-splines of Eilers and Marx (1996) that combine a B-spline basis with a discrete penalty on the basis coefficients. We demonstrate in a simulation study and two real case studies that this approach retains the flexibility of the B-splines, achieves the same ability to accurately estimate peaks due to a new data-driven knot allocation scheme but significantly reduces the computational costs.
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