Automatic spectral density estimation for Random fields on a lattice via bootstrap
This paper considers the nonparametric estimation of spectral densities for second order stationary random fields on a d-dimensional lattice. I discuss some drawbacks of standard methods, and propose modified estimator classes with improved bias convergence rate, emphasizing the use of kernel methods and the choice of an optimal smoothing number. I prove uniform consistency and study the uniform asymptotic distribution, when the optimal smoothing number is estimated from the sampled data.
|Date of creation:||May 2007|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.business.uc3m.es/es/index|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peter M. Robinson & J. Vidal Sanz, 2005.
"Modified whittle estimation of multilateral models on a lattice,"
LSE Research Online Documents on Economics
4545, London School of Economics and Political Science, LSE Library.
- Robinson, P.M. & Vidal Sanz, J., 2006. "Modified Whittle estimation of multilateral models on a lattice," Journal of Multivariate Analysis, Elsevier, vol. 97(5), pages 1090-1120, May.
- Peter M Robinson & J Vidal Sanz, 2005. "Modified Whittle Estimation of Multilateral Models on a Lattice," STICERD - Econometrics Paper Series 492, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Jose Vidal-Sanz, 2009.
"Automatic spectral density estimation for random fields on a lattice via bootstrap,"
TEST- An Official Journal of the Spanish Society of Statistics and Operations Research,
Springer;Sociedad de Estadística e Investigación Operativa, vol. 18(1), pages 96-114, May.
- Vidal-Sanz, Jose M., 2007. "Automatic spectral density estimation for Random fields on a lattice via bootstrap," DEE - Working Papers. Business Economics. WB wb072606, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
When requesting a correction, please mention this item's handle: RePEc:cte:wbrepe:wb072606. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ana Poveda)
If references are entirely missing, you can add them using this form.