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

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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

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Eva Ferreira

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.

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Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 38 (1998)
Issue (Month): 2 (June)
Pages: 197-205
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Handle: RePEc:eee:stapro:v:38:y:1998:i:2:p:197-205

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