Nonlinear spectral density estimation: thresholding the correlogram

DOI10.1111/j.1467-9892.2011.00771.xzbMath1301.62041OpenAlexW1912702371MaRDI QIDQ2931588

Dimitris N. Politis, Efstathios Paparoditis

Publication date: 26 November 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00771.x

zbMATH Keywords

waveletskernel smoothingthresholdingsparsityautocovariance matrixflat-top lag-windows

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (8)

Spectral Inference under Complex Temporal Dynamics ⋮ Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes ⋮ Estimating the Spectral Density at Frequencies Near Zero ⋮ Statistical inference of spectral estimation for continuous-time MA processes with finite second moments ⋮ Principal component analysis for second-order stationary vector time series ⋮ Asymptotic Behavior of Optimal Weighting in Generalized Self‐Normalization for Time Series ⋮ High-dimensional autocovariance matrices and optimal linear prediction ⋮ Simultaneous inference for autocovariances based on autoregressive sieve bootstrap

Uses Software

• sapa

Cites Work

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