Hybrid Spectral Analysis: How a Bayesian Method Combines the Precision of Parametrics with the Flexibility of Nonparametrics
A rough sketch of a portrait: a few confident lines define the shape, but the details are not yet refined. That is how a parametric model, such as vector autoregression (VAR), describes a time series: it captures the main structure, but if the real data deviate from its assumptions, the portrait comes out distorted.