Using M-type smoothing splines to estimate the spectral density of a stationary time series

DOI10.1016/S0167-7152(98)00011-XMaRDI QIDQ449934zbMATH OpenOpenAlexFDO

Authors Eva Ferreira

Publication date 2 September 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(98)00011-x

zbMATH Keywords

smoothing parameter

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 3703820 (Why is no real title available?)
• scientific article; zbMATH DE number 45848 (Why is no real title available?)
• scientific article; zbMATH DE number 46694 (Why is no real title available?)
• scientific article; zbMATH DE number 3454717 (Why is no real title available?)
• A sieve method for the spectral density
• Asymptotics for M-type smoothing splines
• CROSS-VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC
• DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
• Nonparametric Spectral Density Estimation Using Penalized Whittle Likelihood
• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
• Periodic splines for spectral density estimation: the use of cross validation for determining the degree of smoothing
• Spline smoothing and optimal rates of convergence in nonparametric regression models

Cited in

(2)

• Temporal smoothing -- a step forward for time-spectral methods
• LOGSPLINE ESTIMATION OF A POSSIBLY MIXED SPECTRAL DISTRIBUTION

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