Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods

DOI10.2307/2288557zbMath0582.62082OpenAlexW4249944027MaRDI QIDQ3704777

Clifford M. Hurvich

Publication date: 1985

Full work available at URL: https://doi.org/10.2307/2288557

zbMATH Keywords

cross-validationautoregressive order selectionkernel spectrum estimationautoregressive spectrum estimationbandwidth determinationBlackman-Tukey estimatesgeneralized leave-out-one spectrum estimatesparameter selection methodsWahba's CVMSE

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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