A Bayesian mixture model jointly estimates time-varying means and spectra of multiple nonstationary time series, with covariate-dependent weights and missing-data handling.
(2018), Bayesian spectral modeling for multiple time series, Journal of the American Statistical Association, 0, 1--38
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AdaptSPEC-X: Covariate Dependent Spectral Modeling of Multiple Nonstationary Time Series
A Bayesian mixture model jointly estimates time-varying means and spectra of multiple nonstationary time series, with covariate-dependent weights and missing-data handling.