Nonparametric high resolution spectral estimation

DOI10.1007/BF01277980zbMath0679.62071MaRDI QIDQ1822877

Rainer Dahlhaus

Publication date: 1990

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

Simulationsbandwidth selectionstationary processesleakage effectwindow estimatesdata tapersuniform rate of convergenceestimates of the spectral densityhigh resolution spectral estimateslocal and global bandwidthssegment estimatestrough effectuniform rate of convergence of the integrated relative mean square error

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (10)

Rates of convergence and optimal spectral bandwidth for long range dependence ⋮ On the efficiency of estimators of a spectral density multivariate parameter ⋮ Statistical inference for stationary linear models with tapered data ⋮ A frequency-domain based test for non-correlation between stationary time series ⋮ Tapered block bootstrap for unit root testing ⋮ CONSISTENCY FOR NON‐LINEAR FUNCTIONS OF THE PERIODOGRAM OF TAPERED DATA ⋮ SPECTRAL DENSITY ESTIMATION VIA NONLINEAR WAVELET METHODS FOR STATIONARY NON-GAUSSIAN TIME SERIES ⋮ Testing nonparametric and semiparametric hypotheses in vector stationary processes ⋮ Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain ⋮ Data-Adaptive Estimation of Time-Varying Spectral Densities

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Small sample effects in time series analysis: A new asymptotic theory and a new estimate
• On bootstrapping kernel spectral estimates
• SPECTRAL ANALYSIS WITH TAPERED DATA
• On the Efficiency of Spectral Density Estimates of a Stationary Process. II
• On the Efficiency of Spectral Density Estimates of a Stationary Process
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA

This page was built for publication: Nonparametric high resolution spectral estimation