Superoptimal estimator of the spectral density by adaptive projection: an application to the estimation of a moving average order

DOI10.1016/j.crma.2008.07.019zbMath1145.62372OpenAlexW1997118304MaRDI QIDQ950138

Mory Souare

Publication date: 22 October 2008

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2008.07.019

Mathematics Subject Classification ID

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

Cites Work

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• Time series: theory and methods.
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Asymptotic theory of weakly dependent stochastic processes
• Estimation suroptimale de la densité par projection

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