Articles

Computational Aspects of Bayesian Spectral Density Estimation

N. CHOPIN, J. ROUSSEAU, B. LISEO

Journal of Computational & Graphical Statistics

July 2013, vol. 22, n°3, pp.533-557

Departments: Economics & Decision Sciences

Keywords: FEXP, Long-memory processes, Sequential Monte Carlo


Gaussian time-series models are often specified through their spectral density. Such models present several computational challenges, in particular because of the nonsparse nature of the covariance matrix. We derive a fast approximation of the likelihood for such models. We propose to sample from the approximate posterior (i.e., the prior times the approximate likelihood), and then to recover the exact posterior through importance sampling. We show that the variance of the importance sampling weights vanishes as the sample size goes to infinity. We explain why the approximate posterior may typically be multimodal, and we derive a Sequential Monte Carlo sampler based on an annealing sequence to sample from that target distribution. Performance of the overall approach is evaluated on simulated and real datasets. In addition, for one real-world dataset, we provide some numerical evidence that a Bayesian approach to semiparametric estimation of spectral density may provide more reasonable results than its frequentist counterparts. The article comes with supplementary materials, available online, that contain an Appendix with a proof of our main Theorem, a Python package that implements the proposed procedure, and the Ethernet datase


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