Non-Parametric Bayesian Spectrum Estimation for Multirate Data
Basis maker.
Compute the Gauss bounds for a random variable.
Interpolate process values from a set of data, and an expectation and ...
Compute autocovariance values from the basis coefficients for the log ...
Non-parametric multirate spectral density estimation via linear Bayes.
Non-parametric Multirate Spectral Density Estimation via Linear Bayes.
Computes linear Bayesian spectral estimates from multirate data for second-order stationary time series. Provides credible intervals and methods for plotting various spectral estimates. Please see the paper `Should we sample a time series more frequently?' (doi below) for a full description of and motivation for the methodology.