Using \(M\)-type smoothing splines to estimate the spectral density of a stationary time series

DOI10.1016/S0167-7152(98)00011-XzbMath1246.62192OpenAlexW2032575127MaRDI QIDQ449934

Eva Ferreira

Publication date: 2 September 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00011-x

zbMATH Keywords

smoothing parameter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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• Asymptotics for M-type smoothing splines
• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
• Spline smoothing and optimal rates of convergence in nonparametric regression models
• A sieve method for the spectral density
• CROSS-VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC
• DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
• Periodic splines for spectral density estimation: the use of cross validation for determining the degree of smoothing
• Nonparametric Spectral Density Estimation Using Penalized Whittle Likelihood

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