Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators

DOI10.1111/j.1467-9892.2007.00548.xzbMath1164.62061MaRDI QIDQ3608191

Timothy J. Vogelsang, Nigar Hashimzade

Publication date: 28 February 2009

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00548.x

zbMATH Keywords

bandwidth; kernel; inference; zero frequency; truncation lag

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62M15: Inference from stochastic processes and spectral analysis

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Cites Work