A Simple GCV Method of Span Selection for Periodigram Smoothing

H.C. Ombao, J.A. Raz, R.L. Strawderman and R. von Sachs

Working Papers from Catholique de Louvain - Institut de statistique

Abstract: A consistent estimator for the spectral density of a stationary random process can be obtained by smoothing the periodigrams across frequency. An important component of smoothing is the choice of the span. In this paper, we propose a span selector originally developed for use in fitting generalized additive models.

Keywords: TIME SERIES; ESTIMATOR; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C00 C13 C22 C32 (search for similar items in EconPapers)
Pages: 16 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:fth:louvis:9917

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