2 research outputs found
Bayesian interpretation of periodograms
The usual nonparametric approach to spectral analysis is revisited within the
regularization framework. Both usual and windowed periodograms are obtained as
the squared modulus of the minimizer of regularized least squares criteria.
Then, particular attention is paid to their interpretation within the Bayesian
statistical framework. Finally, the question of unsupervised hyperparameter and
window selection is addressed. It is shown that maximum likelihood solution is
both formally achievable and practically useful