Date of Award

2020-01-01

Degree Name

Master of Science

Department

Computational Science

Advisor(s)

Ori Rosen

Abstract

When analyzing a stationary time series, one of the questions we are often interested in is how to estimate its spectrum. Many approaches have been proposed to this end. Most are focused on smoothing the periodogram using a single smoothing parameter across all Fourier frequencies. In this paper, we smooth the log periodogram by placing a spatially adaptive prior called the dynamic shrinkage prior, so that varying degrees of smoothing may be applied to different intervals of Fourier frequencies, resulting in less biased estimates of the spectrum. Further research will extend this approach to spectral estimation for nonstationary time series.

Language

en

Provenance

Received from ProQuest

File Size

52 pages

File Format

application/pdf

Rights Holder

Yi None Xie

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