DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE

DOI10.1111/J.1467-9892.1987.TB00418.XzbMath0608.62118OpenAlexW2069918696MaRDI QIDQ3747573

Kaizô Iwakami Beltrão, Peter Bloomfield

Publication date: 1987

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00418.x

zbMATH Keywords

bandwidthtime series analysismean integrated squared errorMISEsmall sample simulation studyMarron's cross- validation likelihood functionsmoothness scaling constantspectral density function estimationWhittle's cross-validation log likelihood

Mathematics Subject Classification ID

Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

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Cites Work

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• An asymptotically efficient solution to the bandwidth problem of kernel density estimation
• A Method for Determining Periods in Time Series
• The Maximum Deviation of Sample Spectral Densities
• Spectral Estimation with Random Truncation

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