Bandwidth selection in nonparametric spectral density estimation of the stationary Gaussian process
type: Item
instance of: scholarly article
title: Bandwidth selection in nonparametric spectral density estimation of the stationary Gaussian process
zbMATH Open document ID: 0880.62098
DOI: 10.1007/BF02029063
author: Dan Yu
published in: Acta Mathematicae Applicatae Sinica. English Series
publication date: 1997-09-17T00:00:00Z
review text: The paper proposes a method for estimating the mean squared error and bandwidth of a windowed spectral density estimator of a stationary Gaussian process. It also provides a method for estimating the second-order derivation of the spectral density function. Asymptotic properties, convergence rates and some simulation results are also given.
Mathematics Subject Classification ID: 62M15
Mathematics Subject Classification ID: 62G07
Mathematics Subject Classification ID: 60G12
Mathematics Subject Classification ID: 60G10
zbMATH DE Number: 1062660
zbMATH Keywords: spectral density estimator
zbMATH Keywords: stationary Gaussian process
reviewed by: Pedro A. Morettin
MaRDI profile type: Publication
cites work: Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
cites work: Q3323077
cites work: Q4284053
cites work: Q4849515
full work available at URL: https://doi.org/10.1007/bf02029063
OpenAlex ID: W1968904287
description: scientific article; zbMATH DE number 1062660