THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN

DOI10.1111/J.1467-9892.1996.TB00284.XzbMath0906.62100OpenAlexW3126340142MaRDI QIDQ4715708

Serena Ng, Pierre Perron

Publication date: 18 November 1996

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00284.x

zbMATH Keywords

bandwidthtime serieskernelpersistence measuresspectral density estimatorslag window

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

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Portfolio performance sensitivity for various asset-pricing kernels ⋮ Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator ⋮ Simultaneous confidence bands for sequential autoregressive fitting ⋮ Best lag window for spectrum estimation of law order MA process ⋮ Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators ⋮ HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES ⋮ Robust trend inference with series variance estimator and testing-optimal smoothing parameter

Cites Work

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• On the frequency domain estimation of the innovation variance of a stationary univariate time series
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• The Estimation of the Prediction Error Variance
• Time Series Regression with a Unit Root
• Are Output Fluctuations Transitory?
• The Exact Error in Spectrum Estimates
• A Comparison of Lag Window Generators

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