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Optimal Spectral Kernel for Long-Range Dependent Time Series

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URI: https://hdl.handle.net/10016/2432
ISSN: 0167-7152
DOI: 10.1016/0167-7152(95)00199-9
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Optimal_SPL_1996_ps.pdf (470.58 KB)
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1996
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Elsevier
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Abstract
We derive an optimal kernel K(?) for spectral averaging in the neighbourhood of a spectral peak corresponding to long-range dependence. Unusually, K(?) ? 0 as ? ? 0.
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Long-range dependence, Spectral analysis, Optimal Kernel
Bibliographic citation
Statistics and Probability Letters. 1996, vol. 30, nº 1, p. 37-43
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