Estimating the Spectral Density at Frequencies Near Zero

DOI10.1080/01621459.2022.2133719MaRDI QIDQ6154018zbMATH OpenFDO

Authors Tucker S. McElroy, Dimitris Politis

Publication date 19 March 2024

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2208.02300

zbMATH Keywords

flat-top lag-windowsfunction estimationkernel smoothinglocal polynomialslong-run variancesample mean

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: Estimating the spectral density function $f(w)$ for some $win[-pi,pi]$ has been traditionally performed by kernel smoothing the periodogram and related techniques. Kernel smoothing is tantamount to local averaging, i.e., approximating $f(w)$ by a constant over a window of small width. Although $f(w)$ is uniformly continuous and periodic with period $2pi$, in this paper we recognize the fact that $w=0$ effectively acts as a boundary point in the underlying kernel smoothing problem, and the same is true for $w=pmpi$. It is well-known that local averaging may be suboptimal in kernel regression at (or near) a boundary point. As an alternative, we propose a local polynomial regression of the periodogram or log-periodogram when $w$ is at (or near) the points 0 or $pmpi$. The case $w=0$ is of particular importance since $f(0)$ is the large-sample variance of the sample mean; hence, estimating $f(0)$ is crucial in order to conduct any sort of inference on the mean.

Cites work

• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Adaptive bandwidth choice
• Asymptotic normality, strong mixing and spectral density estimates
• Asymptotic spectral theory for nonlinear time series
• Asymptotic theory of statistical inference for time series
• Automatic Local Smoothing for Spectral Density Estimation
• Automatic Smoothing of the Log Periodogram
• Basic Considerations in the Estimation of Spectra
• BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Distribution theory for the Studentized mean for long, short, and negative memory time series
• Heteroscedasticity and Autocorrelation Robust Structural Change Detection
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• High-dimensional autocovariance matrices and optimal linear prediction
• HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 3131469 (Why is no real title available?)
• scientific article; zbMATH DE number 3138094 (Why is no real title available?)
• scientific article; zbMATH DE number 3145675 (Why is no real title available?)
• scientific article; zbMATH DE number 3147986 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3963031 (Why is no real title available?)
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 3553609 (Why is no real title available?)
• scientific article; zbMATH DE number 646830 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• scientific article; zbMATH DE number 3103039 (Why is no real title available?)
• Inference of weighted \(V\)-statistics for nonstationary time series and its applications
• Mathematical Considerations in the Estimation of Spectra
• Nonlinear spectral density estimation: thresholding the correlogram
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• Response surface methodology. Process and product optimization using designed experiments
• Spectral Analysis for Physical Applications
• Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
• The exact bispectra for bilinear realizable processes with hermite degree 2
• Time Series
• Time series: theory and methods.

Cited in

(6)

• A frequency-domain test for multivariate white noise
• Bias correction of quadratic spectral estimators
• Local quadratic spectral and covariance matrix estimation
• Wiener-type integral approximation for sampling distributions of irregularly spaced spatial data
• A Practical Interval Estimation Method for Spectral Density Function
• Estimation of the long-run variance of nonlinear time series with an application to change point analysis

This page was built for publication: Estimating the Spectral Density at Frequencies Near Zero

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6154018)