Weak convergence and adaptive peak estimation for spectral densities
DOI10.1214/AOS/1176348771zbMATH Open0781.62143OpenAlexW2011557667MaRDI QIDQ1206709FDOQ1206709
Authors: Hans-Georg Müller, Kathryn A. Prewitt 
Publication date: 1 April 1993
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176348771
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efficiencyspectral densitystationary time seriescurve estimationkernel estimatorscumulantstightnessvariable bandwidthasymptotic mean squared errorGaussian limit processadaptive peak estimatorsdirect smoothing of the periodogramglobal and local bandwidth choicestwo- parameter stochastic process
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)
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- LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION
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- Estimation adaptative de la densité spectrale d'un processus gaussien faiblement ou fortement dépendant
- Variable Bandwidth Kernel Estimators of the Spectral Density
- The effect of order estimation on estimating the peak frequency of an autoregressive spectral density
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