LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION

DOI10.1111/j.1467-9892.1996.tb00275.xzbMath0854.62087OpenAlexW2052431278MaRDI QIDQ4892825

Peter Bühlmann

Publication date: 19 January 1997

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00275.x

zbMATH Keywords

bandwidthspectral estimationtime seriesasymptotic mean square erroroptimal window widthstrong-mixing sequenceiterative plug-in schemelag-window estimatorvariable window width

Mathematics Subject Classification ID

Density estimation (62G07) Inference from stochastic processes and spectral analysis (62M15)

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Uses Software

• sapa

Cites Work

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• Estimation of integrated squared spectral density derivatives
• Blockwise bootstrapped empirical process for stationary sequences
• The jackknife and the bootstrap for general stationary observations
• Why bandwidth selectors tend to choose smaller bandwidths, and a remedy
• Spectral Analysis for Physical Applications
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• Locally Adaptive Bandwidth Choice for Kernel Regression Estimators