Aggregation of spectral density estimators

Christopher Chang and Dimitris Politis

Statistics & Probability Letters, 2014, vol. 94, issue C, 204-213

Abstract: Given stationary time series data, we study the problem of finding the best linear combination of a set of lag window spectral density estimators with respect to the mean squared risk. We present an aggregation procedure and prove a sharp oracle inequality for its risk. We also provide simulations demonstrating the performance of our aggregation procedure, given Bartlett and other estimators of varying bandwidths as input. This extends work by P. Rigollet and A. Tsybakov on aggregation of density estimators.

Keywords: Estimation; Spectral analysis; Time series analysis (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2014.07.017

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