Locally Adaptive Lag-Window Spectral Estimation

Locally Adaptive Lag-Window Spectral Estimation

Report Number
422
Authors
Peter Bühlmann
Citation
Journal of Time Series Analysis, Vol.17
Abstract

We propose a procedure for the locally optimal window width in nonparametric spectral estimation, minimizing the asymptotic mean square error at a fixed frequency of a lag-window estimator. Our approach is based on an iterative plug-in scheme. Besides the estimation of a spectral density at a fixed frequency, e.g. at frequency zero, our procedure allows to perform nonparametric spectral estimation with variable window width which adapts to the smoothness of the true underlying density.

PDF File
Postscript File