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Using M-type smoothing splines to estimate the spectral density of a stationary time series

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  • Ferreira, Eva

Abstract

An important problem in time series is the estimation of the spectral density or spectrum of a stationary process. In this paper we propose to use an M-type smoothing spline to estimate the spectrum. We derive some general results for these type of estimators which allow us to choose the optimal M-type spline in some asymptotical sense. Applying the theoretical results to our objective, the estimation of the spectrum, the selected estimator improves the classical estimation with least-squares splines.

Suggested Citation

  • Ferreira, Eva, 1998. "Using M-type smoothing splines to estimate the spectral density of a stationary time series," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 197-205, June.
    • Handle: RePEc:eee:stapro:v:38:y:1998:i:2:p:197-205
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    References listed on IDEAS

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    1. 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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