Smoothness priors in time series
| dc.contributor.author | Gersch, Will | |
| dc.contributor.author | Kitagawa, Genshiro | |
| dc.contributor.corporate | Naval Postgraduate School (U.S.) | en_US |
| dc.contributor.department | Operations Research (OR) | en_US |
| dc.date | April 1987 | |
| dc.date.accessioned | 2019-10-04T15:54:16Z | |
| dc.date.available | 2019-10-04T15:54:16Z | |
| dc.date.issued | 1987-04 | |
| dc.description.abstract | A variety of time series signal extraction/smoothing problems are considered from a Bayesian “smoothness priors” point of view. The origin of the subject is a smoothing problem posed by Whittaker (1923). Using a stochastic regression-linear model-Gaussian disturbances framework, we model stationary time series and nonstationary mean and nonstationary covariance time series. Smoothness priors distributions on the model parameters are expressed either in terms of time domain stochastic difference equation or frequency domain constraints A small number of (hyper)parameters specify very complex time series behavior. The critical computation is the likelihood of the Bayesian model. Finally we show a smoothness priors state space-not necessarily Gaussian-not necessarily linear model of nonstationary time series. | en_US |
| dc.description.distributionstatement | Approved for public release; distribution is unlimited. | |
| dc.format.extent | 60 p. | en_US |
| dc.identifier.npsreport | NPS55-87-004 | en_US |
| dc.identifier.uri | https://hdl.handle.net/10945/63334 | |
| dc.publisher | Monterey, California. Naval Postgraduate School | en_US |
| dc.rights | This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States. | en_US |
| dc.subject.author | Bayesian model | en_US |
| dc.subject.author | smoothness priors | en_US |
| dc.subject.author | non Gaussian time series | en_US |
| dc.subject.author | stationary time series | en_US |
| dc.subject.author | nonstationery time series | en_US |
| dc.title | Smoothness priors in time series | en_US |
| dc.type | Technical Report | en_US |
| dspace.entity.type | Publication |
