|
Archivo Abierto Institucional de la Universidad Carlos III de Madrid >
Investigación >
Departamentos >
Departamento de Estadística >
DES - Working Papers. Statistics and Econometrics. WS >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/4556
|
Files in This Item:
| ws982114.pdf | -- 2009-06-30 -- Available on Internet -- preprint | 2,17 MB | Adobe PDF | |  |
|
| Title: | Local cross validation for spectrum bandwidth choice |
| Author(s): | Velasco, Carlos [cavelas] |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Estadística |
| Issued date: | Feb-1998 |
| URI: | http://hdl.handle.net/10016/4556 |
| Abstract: | We investigate an automatic method of determining a local bandwidth for nonparametric kernel spectral density estimates at a single frequency. This procedure is a modification of a cross-validation tecnique for global bandwidth choices, avoiding the computation of any pilot estimate based on initial bandwidths or on approximate parametric models. Only local conditions on the spectral density around the frequency of interest are assumed. We illustrate with a Monte CarIo study the performance in finite samples of the bandwidth estimates proposed. |
| Serie / Nº.: | UC3M Working Papers. Statistics and Econometrics
1998-21-14 |
| Keywords: | Bandwidth selection
Nonparametric spectral estimation
Cross-validation
Time series
Periodogram |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
Economists Online
|
This item is licensed under a Creative Commons License
Items in E-Archivo are protected by copyright, with all rights reserved, unless otherwise indicated.
|
