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

DOI10.1007/S10463-007-0154-0zbMATH Open1332.62354arXivmath/0612681OpenAlexW2063891855MaRDI 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)

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.

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

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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)

Cites Work

• Extremes and related properties of random sequences and processes
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• BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
• Adaptive bandwidth choice
• An introduction to bispectral analysis and bilinear time series models
• Choice of kernel order in density estimation
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
• Title not available (Why is that?)
• Higher order cumulants of random vectors and applications to statistical inference and time series
• Locally Adaptive Bandwidth Choice for Kernel Regression Estimators
• LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION
• Asymptotic normality of cumulant spectral estimates
• Multivariate lag-windows and group representations

Cited In (4)

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

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