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Automatic Local Spectral Envelope

  • Ori Rosen
  • David Stoffer
Conference paper
Part of the Contributions to Statistics book series (CONTRIB.STAT.)

The concept of spectral envelope for the scaling and analysis of categorical time series in the frequency domain was developed in Stoffer et al. (1993) under the assumption of homogeneity. Here, we present a method for fitting a local spectral envelope for nonstationary sequences.

Keywords

Spectral Density Markov Chain Monte Carlo Method Spectral Envelope Spectral Matrix Categorical Time Series 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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    Sto er, D.S., H. Ombao & D.E. Tyler: Local Spectral Envelope: An Approach Using Dyadic Tree Based Adaptive Segmentation. Ann. Inst. Statist. Math. 54, 201-223 (2002).CrossRefMathSciNetGoogle Scholar
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    Sto er, D. S., Tyler, D. E. & McDougall, A. J.: Spectral analysis for categorical time series: Scaling and the spectral envelope. Biometrika. 80, 611-622 (1993).CrossRefMathSciNetGoogle Scholar
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Copyright information

© Physica-Verlag Heidelberg 2008

Authors and Affiliations

  • Ori Rosen
    • 1
  • David Stoffer
    • 2
  1. 1.Department of Mathematical SciencesUniversity of TexasUSA
  2. 2.Department of StatisticsUniversity of PittsburghUSA

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