Local Cross-validation for Spectrum Bandwidth Choice

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dc.contributor.author Velasco, Carlos
dc.date.accessioned 2009-06-04T11:32:53Z
dc.date.available 2009-06-04T11:32:53Z
dc.date.issued 2000-05
dc.identifier.bibliographicCitation Journal of Time Series Analysis. 2000, vol. 21, nº 3, p. 329-361
dc.identifier.issn 0143-9782
dc.identifier.uri http://hdl.handle.net/10016/4347
dc.description.abstract We investigate an automatic method of determining a local bandwidth for non-parametric kernel spectral density estimates at a single frequency. This procedure is a modification of a cross-validation technique 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 Carlo study the performance in finite samples of the bandwidth estimates proposed.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Blackwell
dc.rights © Blackwell
dc.subject.other Bandwidth selection
dc.subject.other Nonparametric spectral estimation
dc.subject.other Cross-validation
dc.subject.other Time series
dc.subject.other Periodogram
dc.title Local Cross-validation for Spectrum Bandwidth Choice
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=10453142&site=ehost-live
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
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