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Logspline Estimation Of A Possibly Mixed Spectral Distribution

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  • Charles Kooperberg
  • Charles J. Stone
  • Young K. Truong

Abstract

. Cubic splines and indicator functions are used to estimate the spectral density function and line spectrum, respectively, for a stationary time series. A fully automatic procedure involving maximum likelihood, stepwise addition and deletion of basis functions, and the Bayes information criterion (BIC) is used to select the final model.

Suggested Citation

  • Charles Kooperberg & Charles J. Stone & Young K. Truong, 1995. "Logspline Estimation Of A Possibly Mixed Spectral Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(4), pages 359-388, July.
    • Handle: RePEc:bla:jtsera:v:16:y:1995:i:4:p:359-388
    DOI: 10.1111/j.1467-9892.1995.tb00240.x
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    References listed on IDEAS

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    1. Clifford M. Hurvich & Kaizô I. Beltrato, 1990. "Cross‐Validatory Choice Of A Spectrum Estimate And Its Connections With Aic," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(2), pages 121-137, March.
    2. Kaizô I. BeltraTo & Peter Bloomfield, 1987. "Determining The Bandwidth Of A Kernel Spectrum Estimate," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(1), pages 21-38, January.
    3. N. Beamish & M. B. Priestley, 1981. "A Study of Autoregressive and Window Spectral Estimation," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 30(1), pages 41-58, March.
    4. Charles Kooperberg & Charles J. Stone & Young K. Truong, 1995. "Rate Of Convergence For Logspline Spectral Density Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(4), pages 389-401, July.
    5. M. S. Mackisack & D. S. Poskitt, 1990. "Some Properties Of Autoregressive Estimates For Processes With Mixed Spectra," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(4), pages 325-337, July.
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    1. Charles Kooperberg & Charles J. Stone & Young K. Truong, 1995. "Rate Of Convergence For Logspline Spectral Density Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(4), pages 389-401, July.

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