Bandwidth selection in nonparametric spectral density estimation of the stationary Gaussian process (Q1367105)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bandwidth selection in nonparametric spectral density estimation of the stationary Gaussian process |
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Bandwidth selection in nonparametric spectral density estimation of the stationary Gaussian process (English)
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17 September 1997
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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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spectral density estimator
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stationary Gaussian process
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