A Modified Nonparametric Prewhitened Covariance Estimator

DOI10.1111/J.1467-9892.2006.00477.XzbMath1120.62072OpenAlexW2145381725MaRDI QIDQ3411054

Masayuki Hirukawa

Publication date: 8 December 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00477.x

zbMATH Keywords

mean squared errorperiodogrambias correctionkernel spectral density estimator

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

Nonparametric multiplicative bias correction for kernel-type density estimation on the unit interval ⋮ Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A multiplicative bias reduction method for nonparametric regression
• Locally parametric nonparametric density estimation
• Improved Non-Negative Kernel Estimate of a Density
• Multiplicative Bias Correction in Kernel Hazard Estimation
• A Nonparametric Prewhitened Covariance Estimator
• Parametrically Guided Non‐parametric Regression
• Boundary and Bias Correction in Kernel Hazard Estimation

This page was built for publication: A Modified Nonparametric Prewhitened Covariance Estimator