Variable Bandwidth Kernel Estimators of the Spectral Density

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)

Review text

The authors consider a kernel spectral density estimator \[ \hat f(\lambda,h)=\sum_{i=1}^n K((\lambda_i-\lambda)/h)I(\lambda_i), \] where \(I\) is the periodogram, \(\lambda_k=k/T\), \(K\) is a kernel such that \(K\in\text{Lip}[-1,1]\) and for \(\nu_j=\int_{-1}^1 K(u)u^jdu\) hold \(\nu_0=1\), \(\nu_1=0\), \(\nu_2\not=0\). It is proved that under some assumptions the MSE of \(\hat f(\lambda)\) is \(\text{MSE}(f(\lambda,h))= E[(\hat f(\lambda,h)-f(\lambda))/f(\lambda)]^2=\) \[ =(nh)^{-1}(\mu_2+o(1))+(h^2/4)[\nu_2^2f(\lambda)^2/f(\lambda)^2+o(1)], \] where \(\mu_2=\int K^2(u)du\). The locally optimal bandwidth obtained by minimizing the principal part of MSE is \[ h^*_\lambda=[\mu_2 f(\lambda)^2/4\nu_2^2f(\lambda)^2]^{1/5} n^{-1/5}. \] The authors propose an adaptive algorithm for local bandwidth estimation at which the globally optimal bandwidth is previously estimated by quasi-likelihood maximization. It is proved that for this estimator \(\hat h_\lambda\) \[ \lim_{n\to\infty}\left(\int_0^1 \text{MSE}(f(\lambda,\hat h_\lambda))d\lambda\right)\left(\int_0^1 \text{MSE}(f(\lambda,h^*_\lambda))d\lambda\right)^{-1} =1. \] Simulation results and application to Spanish money multiplier analysis are discussed.

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