Automatic Smoothing of the Log Periodogram
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Publication:3885022
DOI10.2307/2287399zbMath0442.62074MaRDI QIDQ3885022
Publication date: 1980
Full work available at URL: https://doi.org/10.2307/2287399
nonparametric density estimation; empirical Bayes method; stationary Gaussian time series; automatic smoothing of log periodogram; log spectral density estimate; optimal choice of bandwidth parameter; spline spectral density estimate
65D10: Numerical smoothing, curve fitting
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
62M15: Inference from stochastic processes and spectral analysis
65C05: Monte Carlo methods
93E10: Estimation and detection in stochastic control theory
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