Estimation of spectral density of a stationary time series via an asymptotic representation of the periodogram

Journal of Statistical Planning and Inference

Volumn 75, Issue 2, 1999, Pages 281-290

  Gangopadhyay, A K ^a   Mallick, B K ^b   Denison, D G T ^b  

^a Boston University   (United States)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Piecewise polynomial; Reversible jump MCMC; Spectral density estimation

Indexed keywords

EID: 0043190046     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0378-3758(98)00148-7     Document Type: Article

References (11)

1. Brillinger D.R. Time Series: Data Analysis and Theory. 1981;Holden Day, San Francisco.
2. Green P.J. Reversible jump Markov chain Monte Carlo computation and Bayesian model determination. Biometrika. 82:1995;711-732.
3. Hurvich C.M., Beltrão K.I. Cross-validatory choice of a spectrum estimate and its connections with AIC. J. Time Series Anal. 11:1990;121-137.
4. Kooperberg C., Stone C.J., Truong Y.K. Logspline estimation of a possibly mixed spectral distribution. J. Time Series Anal. 16:1995;359-388.
5. McCoy E.J., Percival, D.B., Walden, A.T., 1995. Spectrum estimation by wavelet thresholding of multitaper estimators. Preprint, Statistical Sciences Division, Mathsoft Inc.
6. Parzen, E., 1974. Some recent advances in time series modeling. IEEE Trans. Automat. Control AC-19, 723-729.
7. Pawitan Y., Gangopadhyay A.K. Efficient bias corrected nonparametric spectral estimation. Biometrika. 78:1991;825-832.
8. Percival D.B., Walden A.T. Spectral Analysis for Physical Applications. 1993;Cambridge University Press, Cambridge.
9. Priestley M.B. Spectral Analysis of Time Series. 1981;Academic Press, London.
10. Riedel K.S., Sidorenko A. Minimum biased multitaper spectrum estimation. IEEE Trans. Signal Process. 43:1995;188-195.
11. Wahba G. Automatic smoothing of the log periodogram. J. Amer. Statist. Assoc. 75:1980;122-132.