BOUEZMARNI, Taoufik; VAN BELLEGEM, Sébastien - Center for Operations Research and Econometrics (CORE), … - 2011
The paper introduces a new nonparametric estimator of the spectral density that is given in smoothing the periodogram by the probability density of Beta random variable (Beta kernel). The estimator is proved to be bounded for short memory data, and diverges at the origin for long memory data....
