Bandwidth selection in nonparametric spectral density estimation of the stationary Gaussian process

DOI10.1007/BF02029063MaRDI QIDQ1367105zbMATH OpenOpenAlexFDO

Authors Dan Yu

Publication date 17 September 1997

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02029063

zbMATH Keywords

spectral density estimatorstationary Gaussian process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Density estimation (62G07) Inference from stochastic processes and spectral analysis (62M15)

Review text

The paper proposes a method for estimating the mean squared error and bandwidth of a windowed spectral density estimator of a stationary Gaussian process. It also provides a method for estimating the second-order derivation of the spectral density function. Asymptotic properties, convergence rates and some simulation results are also given.

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