Using M-type smoothing splines to estimate the spectral density of a stationary time series
Eva Ferreira ()
Statistics & Probability Letters, 1998, vol. 38, issue 2, 197-205
An important problem in time series is the estimation of the spectral density or spectrum of a stationary process. In this paper we propose to use an M-type smoothing spline to estimate the spectrum. We derive some general results for these type of estimators which allow us to choose the optimal M-type spline in some asymptotical sense. Applying the theoretical results to our objective, the estimation of the spectrum, the selected estimator improves the classical estimation with least-squares splines.
Keywords: Spectral; density; Splines; M-type; splines; Smoothing; parameter (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:38:y:1998:i:2:p:197-205
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