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Aggregation of spectral density estimators

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  • Chang, Christopher
  • Politis, Dimitris

Abstract

Given stationary time series data, we study the problem of finding the best linear combination of a set of lag window spectral density estimators with respect to the mean squared risk. We present an aggregation procedure and prove a sharp oracle inequality for its risk. We also provide simulations demonstrating the performance of our aggregation procedure, given Bartlett and other estimators of varying bandwidths as input. This extends work by P. Rigollet and A. Tsybakov on aggregation of density estimators.

Suggested Citation

  • Chang, Christopher & Politis, Dimitris, 2014. "Aggregation of spectral density estimators," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 204-213.
    • Handle: RePEc:eee:stapro:v:94:y:2014:i:c:p:204-213
    DOI: 10.1016/j.spl.2014.07.017
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    References listed on IDEAS

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    1. Politis, Dimitris N., 2011. "Higher-Order Accurate, Positive Semidefinite Estimation Of Large-Sample Covariance And Spectral Density Matrices," Econometric Theory, Cambridge University Press, vol. 27(4), pages 703-744, August.
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