Estimation of integrated squared spectral density derivatives

Byeong U. Park and Sinsup Cho

Statistics & Probability Letters, 1991, vol. 12, issue 1, 65-72

Abstract: Kernel spectrum estimates are used for the estimation of integrals of various squared derivatives of a spectral density. Rates of convergence in mean squared error are calculated, which show that the parametric rate of convergence n-1 can be achieved with some smoothness conditions on the spectral density function. The implications for data-driven bandwidth selection in kernel spectral density estimation are considered.

Keywords: Integrated; squared; derivative; kernel; spectrum; estimate; rate; of; convergence (search for similar items in EconPapers)
Date: 1991
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