Optimal bandwidth selection in non-parametric spectral density estimation: Review and simulation

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Reihe Ökonomie / Economics Series ; No. 62

Classification and Topics

• Classification: 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
• Subject: window width ; bandwidth ; non-parametric spectral estimation ; simulation

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Fortin, Ines ; Kuzmics, Christoph
• Event: Veröffentlichung
• (who): Institute for Advanced Studies (IHS)
• (where): Vienna
• (when): 1999

Further information

• Handle: http://hdl.handle.net/10419/70287
• Last update: 10.03.2025, 11:43 AM CET