LOGSPLINE ESTIMATION OF A POSSIBLY MIXED SPECTRAL DISTRIBUTION

Charles Kooperberg, Charles J. Stone and Young K. Truong

Journal of Time Series Analysis, 1995, vol. 16, issue 4, 359-388

Abstract: Abstract. Cubic splines and indicator functions are used to estimate the spectral density function and line spectrum, respectively, for a stationary time series. A fully automatic procedure involving maximum likelihood, stepwise addition and deletion of basis functions, and the Bayes information criterion (BIC) is used to select the final model.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:16:y:1995:i:4:p:359-388

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