A simple generalised crossvalidation method of span selection for periodogram smoothing

DOI10.1093/biomet/88.4.1186zbMath1008.62092OpenAlexW2001572343MaRDI QIDQ2773197

Robert L. Strawderman, Hernando Ombao, Jonathan Raz, Rainer von Sachs

Publication date: 10 April 2003

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/88.4.1186

zbMATH Keywords

bandwidth selection stationary time series spectrum estimation deviance generalised additive models smoothed periodograms generalised crossvalidation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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