DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE

DOI10.1111/J.1467-9892.1987.TB00418.XzbMATH Open0608.62118OpenAlexW2069918696MaRDI QIDQ3747573FDOQ3747573

Authors: Kaizô Iwakami Beltrão, Peter Bloomfield 

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00418.x

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zbMATH Keywords

bandwidthtime series analysismean integrated squared errorMISEsmall sample simulation studyMarron's cross- validation likelihood functionsmoothness scaling constantspectral density function estimationWhittle's cross-validation log likelihood

Mathematics Subject Classification ID

Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• An asymptotically efficient solution to the bandwidth problem of kernel density estimation
• The Maximum Deviation of Sample Spectral Densities
• Spectral Estimation with Random Truncation
• A Method for Determining Periods in Time Series

Cited In (45)

• Bootstrap long memory processes in the frequency domain
• Adaptive bandwidth selection in the long run covariance estimator of functional time series
• Recent developments in bootstrapping time series
• Frequency domain tests of semiparametric hypotheses for locally stationary process
• On testing for serial correlation of unknown form using wavelet thresholding
• CROSS-VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC
• Principal component analysis using frequency components of multivariate time series
• Do TFP and the relative price of investment share a common I(1) component?
• Optimal window width choice in spectral density estimation
• Factor modeling of multivariate time series: a frequency components approach
• Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
• Bootstrap-based evaluation of markov-switching time series models
• Spectral methods for small sample time series: A complete periodogram approach
• Testing equality of spectral densities using randomization techniques
• Bootstrapping spectra: methods, comparisons and application to knock data
• Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion
• On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
• The Hybrid Wild Bootstrap for Time Series
• Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
• Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
• A test for stationarity based on empirical processes
• An invariance property of optimal spectral bandwidths
• Frequency domain inference for univariate impulse responses
• Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
• Using \(M\)-type smoothing splines to estimate the spectral density of a stationary time series
• Estimating weak periodic vector autoregressive time series
• Characteristics of estimation of spectral width of random signal with unknown value of spectral density
• Autoregressive-aided periodogram bootstrap for time series
• DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
• Investigating time-variation in the marginal predictive power of the yield spread
• Inference for random coefficient INAR(1) process based on frequency domain analysis
• Estimation of integrated squared spectral density derivatives
• Testing equality of spectral density operators for functional processes
• Testing for serial correlation of unknown form in cointegrated time series models
• On nonparametric and semiparametric testing for multivariate linear time series
• Cosine-based variable bandwidth selection for nonparametric spectral density estimation under long-range dependence
• A frequency-domain based test for non-correlation between stationary time series
• Hybrid bootstrap aided unit root testing
• A robust test for serial correlation in panel data models
• Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods
• Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain
• Variable Bandwidth Kernel Estimators of the Spectral Density
• Testing temporal constancy of the spectral structure of a time series
• Local cross-validation for spectrum bandwidth choice
• A test for second order stationarity of a multivariate time series

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