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:|
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- 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," LSE Research Online Documents on Economics 4545, London School of Economics and Political Science, LSE Library.
- 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.
- 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.
- 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.
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