Higher-order accurate polyspectral estimation with flat-top lag-windows

DOI10.1007/s10463-007-0154-0zbMath1332.62354arXivmath/0612681OpenAlexW2063891855MaRDI QIDQ730764

Arthur Berg, Dimitris N. Politis

Publication date: 30 September 2009

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612681

zbMATH Keywords

time seriesspectral densitynonparametric estimationbispectrum

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (4)

Quadratic prediction of time series via auto-cumulants ⋮ Reduced bias nonparametric lifetime density and hazard estimation ⋮ A bootstrap test for time series linearity ⋮ HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES

Cites Work

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• An introduction to bispectral analysis and bilinear time series models
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• A Brief Survey of Bandwidth Selection for Density Estimation
• A TEST FOR LINEARITY OF STATIONARY TIME SERIES
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
• Locally Adaptive Bandwidth Choice for Kernel Regression Estimators
• BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
• Adaptive bandwidth choice
• LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION

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