Optimal window width choice in spectral density estimation

DOI10.1080/00949650008812038zbMATH Open1064.62566OpenAlexW1552369548MaRDI QIDQ4514543FDOQ4514543

Authors: Ines Fortin, Christoph Kuzmics 

Publication date: 2000

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650008812038

Mathematics Subject Classification ID

Density estimation (62G07) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Time series: theory and methods.
• Title not available (Why is that?)
• On bootstrapping kernel spectral estimates
• DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
• An asymptotically efficient solution to the bandwidth problem of kernel density estimation
• CROSS-VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC
• Periodic splines for spectral density estimation: the use of cross validation for determining the degree of smoothing
• Locally Adaptive Bandwidth Choice for Kernel Regression Estimators
• LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION
• Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods

Cited In (2)

• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• A frequency-domain based test for non-correlation between stationary time series

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