Bandwidth selection in nonparametric spectral density estimation of the stationary Gaussian process

DOI10.1007/BF02029063zbMath0880.62098OpenAlexW1968904287MaRDI QIDQ1367105

Dan Yu

Publication date: 17 September 1997

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02029063

zbMATH Keywords

stationary Gaussian processspectral density estimator

Mathematics Subject Classification ID

Density estimation (62G07) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) General second-order stochastic processes (60G12)

Related Items (1)

Bootstrapping Frequency Domain Tests in Multivariate Time Series with an Application to Comparing Spectral Densities

Cites Work

• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
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