LOCALLY ADAPTIVE LAG‐WINDOW SPECTRAL ESTIMATION

Peter Bühlmann

Journal of Time Series Analysis, 1996, vol. 17, issue 3, 247-270

Abstract: Abstract. We propose a procedure for the locally optimal window width in nonparametric spectral estimation, minimizing the asymptotic mean square error at a fixed frequency Λ of a lag‐window estimator. Our approach is based on an iterative plug‐in scheme. Besides the estimation of a spectral density at a fixed frequency, e.g. at frequency Λ= 0, our procedure allows to perform nonparametric spectral estimation with variable window width which adapts to the smoothness of the true underlying density.

Date: 1996
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https://doi.org/10.1111/j.1467-9892.1996.tb00275.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:17:y:1996:i:3:p:247-270

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