Rosen, Ori; Wood, Sally; Stoffer, David S. - In: Journal of the American Statistical Association 107 (2012) 500, pp. 1575-1589
We propose a method for analyzing possibly nonstationary time series by adaptively dividing the time series into an unknown but finite number of segments and estimating the corresponding local spectra by smoothing splines. The model is formulated in a Bayesian framework, and the estimation...