LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION

DOI10.1111/j.1467-9892.1996.tb00275.xzbMath0854.62087MaRDI QIDQ4892825

Peter Bühlmann

Publication date: 19 January 1997

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.tb00275.x

zbMATH Keywords

bandwidth; spectral estimation; time series; asymptotic mean square error; optimal window width; strong-mixing sequence; iterative plug-in scheme; lag-window estimator; variable window width

Mathematics Subject Classification ID

62G07: Density estimation

62M15: Inference from stochastic processes and spectral analysis

Related Items

Adaptive bandwidth choice, Optimal window width choice in spectral density estimation, DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY, Higher-order accurate polyspectral estimation with flat-top lag-windows, A frequency-domain based test for non-correlation between stationary time series, A test for a difference between spectral peak frequencies., Algorithm for adaptively smoothing the log-periodogram, Block length selection in the bootstrap for time series, Resampling time series using missing values techniques, Testing nonparametric and semiparametric hypotheses in vector stationary processes, Sum of the sample autocorrelation function

Uses Software

• sapa

Cites Work

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• Estimation of integrated squared spectral density derivatives
• Blockwise bootstrapped empirical process for stationary sequences
• The jackknife and the bootstrap for general stationary observations
• Why bandwidth selectors tend to choose smaller bandwidths, and a remedy
• Spectral Analysis for Physical Applications
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• Locally Adaptive Bandwidth Choice for Kernel Regression Estimators