LOGSPLINE ESTIMATION OF A POSSIBLY MIXED SPECTRAL DISTRIBUTION

DOI10.1111/j.1467-9892.1995.tb00240.xzbMath0832.62083OpenAlexW2063305369MaRDI QIDQ4855266

Charles Kooperberg, Young K. Truong, Charles J. Stone

Publication date: 9 November 1995

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00240.x

zbMATH Keywords

model selectioncubic splinesmaximum likelihoodspectral densitystationary time seriesindicator functionsBayes information criterionline spectrumautomatic procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Probabilistic methods, stochastic differential equations (65C99)

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