RT Journal Article
T1 Local Cross-validation for Spectrum Bandwidth Choice
A1 Velasco, Carlos
AB 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.
PB Blackwell
SN 0143-9782
YR 2000
FD 2000-05
LK https://hdl.handle.net/10016/4347
UL https://hdl.handle.net/10016/4347
LA eng
DS e-Archivo
RD 19 may. 2024