Automatic Local Smoothing for Spectral Density Estimation

DOI10.1111/1467-9469.00109MaRDI QIDQ4231310zbMATH OpenOpenAlexFDO

Authors Jiaqing Fan, Eva Kreutzberger

Publication date 14 March 1999

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://cdr.lib.unc.edu/downloads/b5645210c

zbMATH Keywords

local polynomial fittinglog-periodogramperiodogramspectral densityWhittle likelihood estimator

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15) Numerical smoothing, curve fitting (65D10)

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Cited in

(29)

• Estimation of spectral density of a stationary time series via an asymptotic of the periodogram
• Algorithm for adaptively smoothing the log-periodogram
• A frequency domain test for detecting nonstationary time series
• Automatic estimation of spatial spectra via smoothing splines
• Slow-gamma frequencies are optimally guarded against effects of neurodegenerative diseases and traumatic brain injuries
• Local Whittle likelihood estimators and tests for spatial lattice data
• Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
• Regularized estimation of large covariance matrices
• Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
• Spectral density estimation with amplitude modulation and outlier detection
• Comparing several parametric and nonparametric approaches to time series clustering: a simulation study
• Understanding resident mobility in Milan through independent component analysis of Telecom Italia mobile usage data
• A Note on Whittle's Likelihood
• Bernstein polynomial estimation of a spectral density
• Automatic estimation of the cross-spectrum of a bivariate time series
• Nonparametric Spectral Density Estimation Using Penalized Whittle Likelihood
• Nonlinear functionals of the periodogram
• Discriminant and cluster analysis for Gaussian stationary processes: local linear fitting approach
• LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION
• Automatic locally adaptive smoothing for tree-based set estimation
• Local Whittle likelihood approach for generalized divergence
• Adaptive smoothing methods for frequency-function estimation
• Estimating the Spectral Density at Frequencies Near Zero
• Frequency domain clustering: an application to time series with time-varying parameters
• A new approach to nonparametric estimation of multivariate spectral density function using basis expansion
• Nonparametric collective spectral density estimation with an application to clustering the brain signals
• A Practical Interval Estimation Method for Spectral Density Function
• Classifying time series data: a nonparametric approach
• Nonparametric spectral analysis with applications to seizure characterization using EEG time series

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