AdaptSPEC-X: Covariate-Dependent Spectral Modeling of Multiple Nonstationary Time Series.

ABSTRACT: We present the AdaptSPEC-X 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 parameterized by a time-varying mean and log spectrum. The mixture components are based on AdaptSPEC, a nonparametric model which adaptively divides the time series into an unknown number of segments and estimates the local log spectra by smoothing splines. AdaptSPEC-X extends AdaptSPEC in three ways. First, through the infinite mixture, it applies to multiple time series linked by covariates. Second, it can handle missing values, a common feature of time series which can cause difficulties for nonparametric spectral methods. Third, it allows for

SUBMITTER: Bertolacci M 

PROVIDER: S-EPMC9624506 | biostudies-literature | 2022

REPOSITORIES: biostudies-literature