Nonparametric Spectral Density Estimation Using Penalized Whittle Likelihood

DOI10.2307/2290863zbMath0805.62087OpenAlexW4250091128MaRDI QIDQ4305732

Yudi Pawitan, Finbarr O'Sullivan

Publication date: 6 February 1995

Full work available at URL: https://doi.org/10.2307/2290863

zbMATH Keywords

algorithmsmoothingregularizationtime seriessimulation studystationary processesAICadaptive smoothingsmoothed periodogramintegrated squared errormoving average processesasymptotic rates of convergenceasymptotic linearizationcross- validationiterative least squareslog-periodogrampenalized likelihood approachARMA spectral density estimatorsdata-dependent procedureempirical rates of convergencelog-spectral densities

Mathematics Subject Classification ID

Density estimation (62G07) Inference from stochastic processes and spectral analysis (62M15) Probabilistic methods, stochastic differential equations (65C99)

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Uses Software

• AS 197
• AS 183

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