THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN

DOI10.1111/j.1467-9892.1996.tb00284.xzbMath0906.62100OpenAlexW3126340142MaRDI QIDQ4715708

Serena Ng, Pierre Perron

Publication date: 18 November 1996

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00284.x

zbMATH Keywords

bandwidthtime serieskernelpersistence measuresspectral density estimatorslag window

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (7)

Portfolio performance sensitivity for various asset-pricing kernels ⋮ Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator ⋮ Simultaneous confidence bands for sequential autoregressive fitting ⋮ Best lag window for spectrum estimation of law order MA process ⋮ Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators ⋮ HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES ⋮ Robust trend inference with series variance estimator and testing-optimal smoothing parameter

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Time series: theory and methods.
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• On the frequency domain estimation of the innovation variance of a stationary univariate time series
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• The Estimation of the Prediction Error Variance
• Time Series Regression with a Unit Root
• Are Output Fluctuations Transitory?
• The Exact Error in Spectrum Estimates
• A Comparison of Lag Window Generators
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