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Rate Of Convergence For Logspline Spectral Density Estimation

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

Abstract

. The logarithm of the spectral density function for a stationary process is approximated by polynomial splines. The approximation is chosen to maximize the expected log‐likelihood based on the asymptotic properties of the periodogram. Estimates of this approximation are shown to possess the usual nonparametric rate of convergence when the number of knots suitably increases to infinity.

Suggested Citation

  • 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.
    • Handle: RePEc:bla:jtsera:v:16:y:1995:i:4:p:389-401
    DOI: 10.1111/j.1467-9892.1995.tb00241.x
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    References listed on IDEAS

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    1. 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.
    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.
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    1. 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.
    2. Voges, Michelle & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks," Hannover Economic Papers (HEP) dp-599, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    3. Leschinski, Christian & Sibbertsen, Philipp, 2014. "Model Order Selection in Seasonal/Cyclical Long Memory Models," Hannover Economic Papers (HEP) dp-535, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    4. Crujeiras, Rosa M. & Fernández-Casal, Rubén & González-Manteiga, Wenceslao, 2008. "An L2 -test for comparing spatial spectral densities," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2543-2551, October.
    5. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

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