Adaptative Estimation of the Spectrum of a Stationary Gausian Sequence.

In this paper, we study the problem of non parametric estimation of the spectral density f of a stationary Gaussian sequence. For this purpose, we consider a collection of finite dimensional linear spaces (e.g. linear space spanned by wavelets or piecewise polynomials on possibly irregular grids or spaces of trigonometric polynomials).

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Year of publication:	1999
Authors:	Comte, F.
Subject:	ESTIMATOR \| ECONOMETRICS

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Type of publication:	Book / Working Paper
Notes:	36 pages
Classification:	C13 - Estimation ; C10 - Econometric and Statistical Methods: General. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641093