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Keyword: spectral estimation;
4 results found.
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We consider the estimation of the location of the pole and memory parameter, ?<sup>0</sup> and a respectively, of covariance stationary linear processes whose spectral density function f(?) satisfies f(?) ~ C|? - ?<sup>0...Read more...
Peter M Robinson
Smoothed nonparametric estimates of the spectral density matrix at zero frequency have been widely used in econometric inference, because they can consistently estimate the covariance matrix of a partial sum of a possibl...Read more...
Peter M Robinson and Carlos Velasco
We consider statistical inference in the presence of serial dependence. The main focus is on use of statistics that are constructed as if no dependence were believed present, and are asymptotically normal in the presence...Read more...
This paper provides limit theorems for special density matrix estimators and functionals of it for a bivariate co variance stationary process whose spectral density matrix has singularities not only at the origin but pos...Read more...