Variable Bandwidth Kernel Estimators of the Spectral Density

DOI10.1111/1467-9892.00137MaRDI QIDQ4939808zbMATH OpenOpenAlexFDO

Authors Eva Ferreira, Juan Rodriguez-Poo

Publication date 1 March 2000

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00137

zbMATH Keywords

adaptive estimatorbandwidth selectionlocally optimal bandwidthmean squared error asymptoticsspectral density estimation

Mathematics Subject Classification ID

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

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Cited in

(15)

• Weak convergence and adaptive peak estimation for spectral densities
• Statistical estimation of the bandwidth from irregularly spaced data
• Estimation of spectral density for seasonal time series models
• Local cross-validation for spectrum bandwidth choice
• Kernel Bandwidth Applications to the Euro and the U.S. Mutual Fund Movements
• DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
• Efficient bias corrected nonparametric spectral estimation
• Choix optimal de la fenêtre spectrale pour un processus stationnaire à temps discret α-mélangeant
• Automatic Local Smoothing for Spectral Density Estimation
• THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
• scientific article; zbMATH DE number 1916650 (Why is no real title available?)
• LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION
• Variable bandwidth kernel regression estimation
• Self-tuning algorithm for minimax nonparametric estimation of spectral density
• Modified nonparametric spectral density estimation under long-range dependence

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