LOGSPLINE ESTIMATION OF A POSSIBLY MIXED SPECTRAL DISTRIBUTION

DOI10.1111/J.1467-9892.1995.TB00240.XMaRDI QIDQ4855266zbMATH OpenOpenAlexFDO

Authors Charles Kooperberg, Charles J. Stone, Young K. Truong

Publication date 9 November 1995

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1995.tb00240.x

zbMATH Keywords

automatic procedureBayes information criterioncubic splinesindicator functionsline spectrummaximum likelihoodmodel selectionspectral densitystationary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Probabilistic methods, stochastic differential equations (65C99)

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• Using \(M\)-type smoothing splines to estimate the spectral density of a stationary time series
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• Estimation of spectral density of a stationary time series via an asymptotic of the periodogram
• Automatic estimation of multivariate spectra via smoothing splines

Cites work

• A practical guide to splines
• A Study of Autoregressive and Window Spectral Estimation
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Automatic Smoothing of the Log Periodogram
• Efficient bias corrected nonparametric spectral estimation
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 203652 (Why is no real title available?)
• scientific article; zbMATH DE number 3269388 (Why is no real title available?)
• Linear Statistical Inference and its Applications
• Nonparametric Spectral Density Estimation Using Penalized Whittle Likelihood
• On bootstrapping kernel spectral estimates

Cited in

(13)

• Estimation of spectral density of a stationary time series via an asymptotic of the periodogram
• Flexible smoothing with B-splines and penalties. With comments and a rejoinder by the authors
• Nonparametric log spectrum estimation using disconnected regression splines and genetic algorithms
• Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
• Spectral density estimation with amplitude modulation and outlier detection
• Using \(M\)-type smoothing splines to estimate the spectral density of a stationary time series
• A Bayesian Curve Fitting Approach to Power Spectrum Estimation
• RATE OF CONVERGENCE FOR LOGSPLINE SPECTRAL DENSITY ESTIMATION
• Modelling Directional Dispersion through Hyperspherical Log-Splines
• Adaptive smoothing methods for frequency-function estimation
• A log-Gaussian Cox process with sequential Monte Carlo for line narrowing in spectroscopy
• Spectral estimation through cubic-spline approximation of a discrete time series
• Nonparametric spectral analysis with applications to seizure characterization using EEG time series

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