Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods

DOI10.2307/2288557MaRDI QIDQ3704777zbMATH OpenOpenAlexFDO

Authors Clifford Hurvich

Publication date 1985

Full work available at URL https://doi.org/10.2307/2288557

zbMATH Keywords

cross-validationautoregressive order selectionkernel spectrum estimationautoregressive spectrum estimationbandwidth determinationBlackman-Tukey estimatesgeneralized leave-out-one spectrum estimatesparameter selection methodsWahba's CVMSE

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(19)

• AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
• CROSS-VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC
• Optimal window width choice in spectral density estimation
• Asymptotic properties of Dirichlet kernel density estimators
• Spectral methods for small sample time series: A complete periodogram approach
• Validation of reconstructed component spectra from non-parametric derivative envelopes: comparison with component lineshapes from parametric derivative estimations with the solved quantification problem
• Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion
• Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
• Automatic selection of a linear predictor through frequency domain cross-validation
• Penalized Whittle likelihood for spatial data
• Sum of the sample autocorrelation function
• DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
• Random field priors for spectral density functions
• Testing equality of spectral density operators for functional processes
• Cosine-based variable bandwidth selection for nonparametric spectral density estimation under long-range dependence
• A robust test for serial correlation in panel data models
• Methods for computing numerical standard errors: review and application to value-at-risk estimation
• SPECTRAL DENSITY ESTIMATION VIA NONLINEAR WAVELET METHODS FOR STATIONARY NON-GAUSSIAN TIME SERIES
• Adaptive bandwidth choice

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