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A Simulation Study of the Estimation of Evolutionary Spectral Functions

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  • W.‐Y. T. Chan
  • H. Tong

Abstract

In recent years, the theory of evolutionary spectral analysis of non‐stationary time series has been fairly widely used. However, owing to the difficulty of deriving exact sampling results, all the studies undertaken to date rely mainly on approximate results. In the absence of exact results, it is therefore of interest to conduct a fairly extensive simulation study.

Suggested Citation

  • W.‐Y. T. Chan & H. Tong, 1975. "A Simulation Study of the Estimation of Evolutionary Spectral Functions," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 24(3), pages 333-341, November.
    • Handle: RePEc:bla:jorssc:v:24:y:1975:i:3:p:333-341
    DOI: 10.2307/2347095
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    Cited by:

    1. D. M. Nachane, 2018. "Time-varying spectral analysis: theory and applications," Indian Economic Review, Springer, vol. 53(1), pages 3-27, December.
    2. Ahamada, Ibrahim & Jolivaldt, Philippe, 2013. "Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP," Economic Modelling, Elsevier, vol. 31(C), pages 460-466.

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