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

DOI10.1007/S10463-007-0154-0zbMATH Open1332.62354OpenAlexW2063891855MaRDI QIDQ730764FDOQ730764

Authors Arthur Berg, Dimitris 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

nonparametric estimationtime seriesspectral densitybispectrum

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)

Abstract: Improved performance in higher-order spectral density estimation is achieved using a general class of infinite-order kernels. These estimates are asymptotically less biased but with the same order of variance as compared to the classical estimators with second-order kernels. A simple, data-dependent algorithm for selecting bandwidth is introduced and is shown to be consistent with estimating the optimal bandwidth. Bispectral simulations with several standard models are used to demonstrate the performance of the proposed methodology.

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Cites work

• scientific article; zbMATH DE number 1959518 (Why is no real title available?)
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Cited in

(5)

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

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