RATE OF CONVERGENCE FOR LOGSPLINE SPECTRAL DENSITY ESTIMATION

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

Journal of Time Series Analysis, 1995, vol. 16, issue 4, 389-401

Abstract: Abstract. The logarithm of the spectral density function for a stationary process is approximated by polynomial splines. The approximation is chosen to maximize the expected log‐likelihood based on the asymptotic properties of the periodogram. Estimates of this approximation are shown to possess the usual nonparametric rate of convergence when the number of knots suitably increases to infinity.

Date: 1995
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1995.tb00241.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:16:y:1995:i:4:p:389-401

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().