Arbeitspapier
Optimal bandwidth selection in non-parametric spectral density estimation: Review and simulation
This paper deals with optimal window width choice in non-parametric lag- or spectral window estimation of the spectral density of a stationary zero-mean process. Several approaches are reviewed: the cross-validation based methods described by Hurvich (1985), Beltrao & Bloomfield (1987) and Hurvich & Beltrao (1990), an iterative procedure due to Buehlmann (1996), and a bootstrap approach followed by Franke & Haerdle (1992). These methods are compared in terms of the mean square error, the mean square percentage error, and a third measure of distance between the true spectral density and its estimate. The comparison is based on a small simulation study. The processes that are simulated are in the class of ARMA (5,5) processes. Based on the simulation evidence, we suggest to use a slightly modified version of Buehlmann's (1996) iterative method.
- Sprache
-
Englisch
- Erschienen in
-
Series: Reihe Ökonomie / Economics Series ; No. 62
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Statistical Simulation Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
window width
bandwidth
non-parametric spectral estimation
simulation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fortin, Ines
Kuzmics, Christoph
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for Advanced Studies (IHS)
- (wo)
-
Vienna
- (wann)
-
1999
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Fortin, Ines
- Kuzmics, Christoph
- Institute for Advanced Studies (IHS)
Entstanden
- 1999