ISSN:
1432-2064
Keywords:
60G18
;
62G07
;
62M15
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Summary For a realization of lengthn from a covariance stationary discrete time process with spectral density which behaves like λ1−2H as λ→0+ for 1/2〈H〈1 (apart from a slowly varying factor which may be of unknown form), we consider a discrete average of the periodogram across the frequencies 2πj/n,j=1,..., m, wherem→∞ andm/n→0 asn→∞. We study the rate of convergence of an analogue of the mean squared error of smooth spectral density estimates, and deduce an optimal choice ofm.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01199901
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