Estimation of integrated squared spectral density derivatives

Kernel spectrum estimates are used for the estimation of integrals of various squared derivatives of a spectral density. Rates of convergence in mean squared error are calculated, which show that the parametric rate of convergence n-1 can be achieved with some smoothness conditions on the spectral density function. The implications for data-driven bandwidth selection in kernel spectral density estimation are considered.

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Year of publication:	1991
Authors:	Park, Byeong U. ; Cho, Sinsup
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 12.1991, 1, p. 65-72
Publisher:	Elsevier
Keywords:	Integrated squared derivative kernel spectrum estimate rate of convergence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005258999