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

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Fortin, Ines
  • Kuzmics, Christoph
  • Institute for Advanced Studies (IHS)

Entstanden

  • 1999

Ähnliche Objekte (12)