Optimal spectral kernel for long-range dependent time series

Miguel Delgado () and Peter M. Robinson

Statistics & Probability Letters, 1996, vol. 30, issue 1, 37-43

Abstract: We derive an optimal kernel K([lambda]) for spectral averaging in the neighbourhood of a spectral peak corresponding to long-range dependence. Unusually, K([lambda]) --> 0 as [lambda] --> 0.

Keywords: Long-range; dependence; Spectral; analysis; Optimal; kernel (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (3)

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Working Paper: Optimal spectral kernel for long-range dependent time series (1994)
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