A Simple GCV Method of Span Selection for Periodigram Smoothing.

A consistent estimator for the spectral density of a stationary random process can be obtained by smoothing the periodigrams across frequency. An important component of smoothing is the choice of the span. In this paper, we propose a span selector originally developed for use in fitting generalized additive models.

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Year of publication:	1999
Authors:	Ombao, H.C. ; Raz, J.A. ; Strawderman, R.L. ; von Sachs, R.
Institutions:	Catholique de Louvain - Institut de statistique
Subject:	TIME SERIES \| ESTIMATOR \| ECONOMETRICS

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Series:	Catholique de Louvain - Institut de statistique.
Type of publication:	Book / Working Paper
Notes:	16 pages
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; C13 - Estimation ; C00 - Mathematical and Quantitative Methods. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005625686