Nonparametric high resolution spectral estimation
type: Item
instance of: scholarly article
title: Nonparametric high resolution spectral estimation
zbMATH Open document ID: 0679.62071
DOI: 10.1007/BF01277980
publication date: 1990-01-01T00:00:00Z
review text: The uniform rate of convergence of the integrated relative mean square error over an (with the sample size T) increasing class \({\mathcal X}_ T\) of stationary processes is studied for several estimates of the spectral density. The class \({\mathcal X}_ T\) is chosen in a way such that estimates with a good uniform rate of convergence over \({\mathcal X}_ T\) may be termed `high resolution spectral estimates'. By using this criterion several effects are explained theoretically, for example the leakage effect. The advantages of using data tapers are proved and the use of local and global bandwidths are studied. Furthermore, the behaviour of segment estimates is studied. Simulations are presented for the illustration of some effects.
Mathematics Subject Classification ID: 62M15
Mathematics Subject Classification ID: 62G05
zbMATH DE Number: 4113798
zbMATH Keywords: window estimates
zbMATH Keywords: bandwidth selection
zbMATH Keywords: trough effect
zbMATH Keywords: uniform rate of convergence of the integrated relative mean square error
zbMATH Keywords: stationary processes
zbMATH Keywords: estimates of the spectral density
zbMATH Keywords: uniform rate of convergence
zbMATH Keywords: high resolution spectral estimates
zbMATH Keywords: leakage effect
zbMATH Keywords: data tapers
zbMATH Keywords: local and global bandwidths
zbMATH Keywords: segment estimates
zbMATH Keywords: Simulations
author: R. Dahlhaus
MaRDI profile type: Publication
cites work: PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
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cites work: On the Efficiency of Spectral Density Estimates of a Stationary Process. II
published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
description: scientific article; zbMATH DE number 4113798