Optimal spectral bandwidth for long memory
Optimal spectral bandwidth for long memory
复制标题
长记忆的最佳光谱带宽
DOI：
--
复制
发表时间：
1993
期刊：
影响因子：
--
通讯作者：
P. Robinson
中科院分区：
文献类型：
--
作者：
P. Robinson
对于频率为零的具有频谱奇点的长距离相关时间序列，Robinson （1991b）提出了奇点非参数分析中的最优带宽选择理论。描述了最优带宽，并与光滑谱分析的带宽进行了比较。对分数阶ARIMA模型进行了分析，并在一些特殊情况下作为自相似参数的函数进行了计算。讨论了最优带宽的可行数据依赖近似。
For long range dependent time series with a spectral singularity at frequency zero, a theory for optimal bandwidth choice in non-parametric analysis ofthe singularity was developed by Robinson (1991b). The optimal bandwidths are described and compared with those in case of analysis of a smooth spectrum. They are also analysed in case of fractional ARIMA models and calculated as a function of the self similarity parameter in some special cases. Feasible data dependent approximations to the optimal bandwidth are discussed.