Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators

DOI10.1111/j.1467-9892.2007.00548.xzbMath1164.62061OpenAlexW3121407489MaRDI QIDQ3608191

Timothy J. Vogelsang, Nigar Hashimzade

Publication date: 28 February 2009

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00548.x

zbMATH Keywords

bandwidthkernelinferencezero frequencytruncation lag

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

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Cites Work

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• Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
• THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• An Improved Formula for the Asymptotic Variance of Spectrum Estimates
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
• Statistical Spectral Analysis of Time Series Arising from Stationary Stochastic Processes

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