Home News About Us Contact Contributors Disclaimer Privacy Policy Help FAQ

Home
Search
Quick Search
Advanced
Fulltext
Browse
Collections
Persons
My eDoc
Session History
Login
Name:
Password:
Documentation
Help
Support Wiki
Direct access to
document ID:


          Institute: MPI für Gravitationsphysik     Collection: Observational Relativity and Cosmology     Display Documents



  history
ID: 367179.0, MPI für Gravitationsphysik / Observational Relativity and Cosmology
Modelling coloured noise
Authors:Röver, Christian; Meyer, Renate; Christensen, Nelson
Review Status:not specified
Audience:Not Specified
Abstract / Description:This paper introduces a novel approach to modelling non-white residual noise in discrete time series. We present a Markov chain Monte Carlo (MCMC) algorithm for combined posterior inference on signal and noise parameters. By choosing a conjugate prior distribution for the noise parameters, the additional Gibbs sampling steps have a particularly simple form and are easy to implement as well as fast to run. Furthermore, the sampling-based approach allows for easy inference on the autocovariance function. The model is illustrated using a well-known sunspot dataset as well as a simulated dataset of a chirp signal embedded in non-Normal, coloured noise where the spectrum is regarded as a nuisance parameter.
External Publication Status:unpublished
Document Type:Article
Communicated by:Karsten Danzmann
Affiliations:MPI für Gravitationsphysik/Observational Relativity and Cosmology
Identifiers:LOCALID:arXiv:0804.3853
Full Text:
You have privileges to view the following file(s):
0804.3853v2.pdf  [487,00 Kb] [Comment:arXiv:0804.3853v2 [stat.ME]]  
 
The scope and number of records on eDoc is subject to the collection policies defined by each institute - see "info" button in the collection browse view.