0591538083
Broad Subject		Economics & finance
Subject		Finance - Mathematical models.Time-series analysis.Bayesian statistical decision theory.
Summary		Two common methods exist for frequency estimation in cyclical time series: probability theory and Fourier transform. Recent work of Jaynes and Bretthorst has shown the connection of the two methods and the theoretical advantage of the probability method. We develop a unified approach for accurate frequency estimation under the Bayesian MCMC framework for the single-frequency and multi-frequency harmonic model which can be generalized to more complex models for the frequency. We apply the method to real cyclical data. Motivated by the study of Oxygen isotope data in geology study, we discuss timing issues in harmonic analysis, particularly the impact of uncertain timing to the estimation of frequencies. We develop a harmonic model with uncertain timing to investigate the impact of uncertain timing in frequency estimation and to illustrate the use of Bayesian MCMC simulation methods as a general method for complex models in Bayesian spectral analysis. We illustrate our idea using real Oxygen data in geology study and provide evidence of the impact of uncertain timing to frequency estimation.
Language		English

[此贴子已经被作者于2005-4-19 11:18:33编辑过]