Weak convergence and adaptive peak estimation for spectral densities

DOI10.1214/aos/1176348771zbMath0781.62143OpenAlexW2011557667MaRDI QIDQ1206709

Hans-Georg Müller, Kathryn A. Prewitt

Publication date: 1 April 1993

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348771

zbMATH Keywords

cumulantskernel estimatorsefficiencytightnessspectral densitycurve estimationstationary time seriesvariable bandwidthasymptotic mean squared errorGaussian limit processadaptive peak estimatorsdirect smoothing of the periodogramglobal and local bandwidth choicestwo- parameter stochastic process

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Estimation of marginal and spectral modes ⋮ A kernel mode estimate under random left truncation and time series model: asymptotic normality ⋮ Semiparametric estimation for stationary processes whose spectra have an unknown pole

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