Local cross validation for spectrum bandwidth choice

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dc.contributor.author Velasco, Carlos
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2009-06-30T08:16:52Z
dc.date.available 2009-06-30T08:16:52Z
dc.date.issued 1998-02
dc.identifier.uri http://hdl.handle.net/10016/4556
dc.description.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.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 1998-21-14
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
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 workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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