Delgado, Miguel A.Robinson, Peter M.Universidad Carlos III de Madrid. Departamento de Estadística2009-02-202009-02-201993-11https://hdl.handle.net/10016/3738For 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.application/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaLong range dependenceSpectrumSelf similarity parameterSemiparametric estimationOptimal bandwidth choiceARFIMA modelsworking paperEstadísticaopen access