Decision support via multirate spectrum estimation

[1]  Corinne Le Quéré,et al.  Climate Change 2013: The Physical Science Basis , 2013 .

[2]  Eric Ghysels,et al.  Simple Granger Causality Tests for Mixed Frequency Data , 2016 .

[3]  G. Nason,et al.  Supplementary Material for "Should we sample a time series more frequently? Decision support via multirate spectrum estimation (with discussion)" , 2016, 1604.06716.

[4]  Antonello D’Agostino,et al.  Combining Time-Variation and Mixed-Frequencies: An Analysis of Government Spending Multipliers in Italy , 2015, SSRN Electronic Journal.

[5]  Andrew T. Foerster,et al.  Bayesian Mixed Frequency VARs , 2015 .

[6]  M. I. Ortego,et al.  Bayesian trend analysis of extreme wind using observed and hindcast series off the Catalan coast, NW Mediterranean Sea , 2014 .

[7]  Massimiliano Marcellino,et al.  Markov-Switching Mixed-Frequency VAR Models , 2014 .

[8]  Eric Ghysels,et al.  Mixed-Frequency Vector Autoregressive Models ☆ ☆This views expressed herein are solely those of the authors and do not necessarily reflect the views of the Norges Bank. The usual disclaimers apply. , 2013 .

[9]  Frank Schorfheide,et al.  Real-Time Forecasting With a Mixed-Frequency VAR , 2013 .

[10]  Eric Ghysels,et al.  Testing for Granger Causality with Mixed Frequency Data , 2013 .

[11]  P. Brockwell,et al.  Time Series: Theory and Methods , 2013 .

[12]  Massimiliano Marcellino,et al.  A Survey of Econometric Methods for Mixed-Frequency Data , 2013 .

[13]  Neil J. Holbrook,et al.  A Bayesian Forecast Model of Australian Region Tropical Cyclone Formation , 2011 .

[14]  Eric Ghysels,et al.  Forecasting with mixed-frequency data , 2011 .

[15]  Michael T. Owyang,et al.  Forecasting with Mixed Frequencies , 2010 .

[16]  Judith Rousseau,et al.  Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process , 2010, 1007.3823.

[17]  Tony Crook,et al.  Development of construction statistics , 2010 .

[18]  Michael P. Clements,et al.  Macroeconomic Forecasting With Mixed-Frequency Data , 2008 .

[19]  David Wooff,et al.  Bayes Linear Statistics , 2007 .

[20]  Piet M. T. Broersen,et al.  Automatic Autocorrelation and Spectral Analysis , 2006 .

[21]  Piet M. T. Broersen,et al.  Time-series analysis if data are randomly missing , 2006, IEEE Transactions on Instrumentation and Measurement.

[22]  S. Ghosal,et al.  Bayesian Estimation of the Spectral Density of a Time Series , 2004 .

[23]  Jian Li,et al.  Nonparametric spectral analysis with missing data via the EM algorithm , 2004, Conference Record of the Thirty-Eighth Asilomar Conference on Signals, Systems and Computers, 2004..

[24]  E. Ghysels,et al.  Série Scientifique Scientific Series Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies , 2022 .

[25]  Bani K. Mallick,et al.  A Bayesian Curve Fitting Approach to Power Spectrum Estimation , 2002 .

[26]  F. Pukelsheim The Three Sigma Rule , 1994 .

[27]  P. A. Blight The Analysis of Time Series: An Introduction , 1991 .

[28]  J. Scargle Studies in astronomical time series analysis. II - Statistical aspects of spectral analysis of unevenly spaced data , 1982 .

[29]  G. Wahba Automatic Smoothing of the Log Periodogram , 1980 .

[30]  D.P. Skinner,et al.  The cepstrum: A guide to processing , 1977, Proceedings of the IEEE.

[31]  Richard H. Jones,et al.  Estimation of the Innovation Generalized Variance of a Multivariate Stationary Time Series , 1976 .

[32]  N. Lomb Least-squares frequency analysis of unequally spaced data , 1976 .

[33]  P. Vaníček Further development and properties of the spectral analysis by least-squares , 1971 .

[34]  G. Marsaglia Ratios of Normal Variables and Ratios of Sums of Uniform Variables , 1965 .

[35]  Robert H. Shumway,et al.  Time series analysis and its applications : with R examples , 2017 .

[36]  Klemens Hauzenberger,et al.  Time-Varying Mixed-Frequency Vector Autoregressive Models * , 2015 .

[37]  R Core Team,et al.  R: A language and environment for statistical computing. , 2014 .

[38]  Xiao-Li Meng,et al.  Challenges and Advances in High Dimensional and High Complexity Monte Carlo Computation and Theory , 2012 .

[39]  P. Green,et al.  Reversible jump MCMC , 2009 .

[40]  B. Werner,et al.  Reflections on fifteen years of change in using the Labour Force Survey , 2006 .

[41]  Brani Vidakovic,et al.  Bayesian Decision Theoretic Scale-Adaptive Estimation of a Log-Spectral Density , 2003 .

[42]  農林水産奨励会農林水産政策情報センター,et al.  The green book : appraisal and evaluation in central government , 2003 .

[43]  David G Steel,et al.  Producing Monthly Estimates of Unemployment and Employment According to the International Labour Office Definition , 1997 .

[44]  G. Wahba Data-Based Optimal Smoothing of Orthogonal Series Density Estimates , 1981 .

[45]  P. Whittle Curve and Periodogram Smoothing , 1957 .