Optimal spectral kernel for long-range dependent time series

We derive an optimal kernel K([lambda]) for spectral averaging in the neighbourhood of a spectral peak corresponding to long-range dependence. Unusually, K([lambda]) --> 0 as [lambda] --> 0.

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Year of publication:	1996
Authors:	Delgado, Miguel A. ; Robinson, Peter M.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 30.1996, 1, p. 37-43
Publisher:	Elsevier
Keywords:	Long-range dependence Spectral analysis Optimal kernel

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

Persistent link: https://www.econbiz.de/10005319375