Non‐Parametric Spectral Density Estimation Under Long‐Range Dependence

DOI10.1111/jtsa.12284zbMath1392.62284OpenAlexW2789953151MaRDI QIDQ4640225

Young Min Kim, Daniel J. Nordman, Soumendra Nath Lahiri

Publication date: 16 May 2018

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

Full work available at URL: https://doi.org/10.1111/jtsa.12284

zbMATH Keywords

frequency domainbandwidthkernel estimationperiodogramlong-memory parameter

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

Frequency domain bootstrap for ratio statistics under long-range dependence ⋮ Cosine-based variable bandwidth selection for nonparametric spectral density estimation under long-range dependence

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