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A Simple GCV Method of Span Selection for Periodigram Smoothing

Author

Listed:
  • Ombao, H.C.
  • Raz, J.A.
  • Strawderman, R.L.
  • von Sachs, R.

Abstract

A consistent estimator for the spectral density of a stationary random process can be obtained by smoothing the periodigrams across frequency. An important component of smoothing is the choice of the span. In this paper, we propose a span selector originally developed for use in fitting generalized additive models.

Suggested Citation

  • Ombao, H.C. & Raz, J.A. & Strawderman, R.L. & von Sachs, R., 1999. "A Simple GCV Method of Span Selection for Periodigram Smoothing," Papers 9917, Catholique de Louvain - Institut de statistique.
    • Handle: RePEc:fth:louvis:9917
    as

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    More about this item

    Keywords

    TIME SERIES ; ESTIMATOR ; ECONOMETRICS;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C00 - Mathematical and Quantitative Methods - - General - - - General

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