RT Generic
T1 Optimal spectral bandwidth for long memory
A1 Delgado, Miguel A.
A1 Robinson, Peter M.
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB For long range dependent time series with a spectral singularity at frequency zero, a theory for optimal bandwidth choice in non-parametric analysis ofthe singularity was developed by Robinson (1991b). The optimal bandwidths are described and compared with those in case of analysis of a smooth spectrum. They are also analysed in case of fractional ARIMA models and calculated as a function of the self similarity parameter in some special cases. Feasible data dependent approximations to the optimal bandwidth are discussed.
YR 1993
FD 1993-11
LK http://hdl.handle.net/10016/3738
UL http://hdl.handle.net/10016/3738
LA eng
DS e-Archivo
RD 30 abr. 2024