التفاصيل البيبلوغرافية
| العنوان: |
Cosine-based variable bandwidth selection for nonparametric spectral density estimation under long-range dependence. |
| المؤلفون: |
Jeong, Donghoon, Im, Jongho, Min Kim, Young |
| المصدر: |
Journal of Statistical Computation & Simulation; Apr2022, Vol. 92 Issue 6, p1158-1174, 17p |
| مصطلحات موضوعية: |
SIGNAL frequency estimation, BANDWIDTHS, NONPARAMETRIC estimation, MOVING average process |
| مستخلص: |
The optimal bandwidth selection in kernel-based nonparametric density estimation is one of the important parts in the spectral density estimation under long-range dependence (LRD). To improve the performance of the nonparametric spectral density estimation (NPSDE) under LRD, we propose a new cosine-based variable bandwidth selection method, which is motivated by variable bandwidth selection for density estimation and spectral density for autoregressive fractionally-integrated moving average models. The performance of the proposed method was illustrated through the simulation studies and data examples. The proposed cosine-based variable bandwidth selection method for NPSDE under LRD provides better performance than any other bandwidth selection method. Our method is robust to any values of the fractional differencing parameters. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
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