Automatic Smoothing of the Log Periodogram

DOI10.2307/2287399zbMath0442.62074OpenAlexW4237697322MaRDI QIDQ3885022

Grace Wahba

Publication date: 1980

Full work available at URL: https://doi.org/10.2307/2287399

zbMATH Keywords

nonparametric density estimationempirical Bayes methodstationary Gaussian time seriesautomatic smoothing of log periodogramlog spectral density estimateoptimal choice of bandwidth parameterspline spectral density estimate

Mathematics Subject Classification ID

Numerical smoothing, curve fitting (65D10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05) Estimation and detection in stochastic control theory (93E10)

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