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Local Cross‐validation for Spectrum Bandwidth Choice
Author(s) -
Velasco Carlos
Publication year - 2000
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00188
Subject(s) - bandwidth (computing) , mathematics , parametric statistics , computation , monte carlo method , kernel density estimation , kernel (algebra) , algorithm , cross validation , parametric model , mathematical optimization , statistical physics , statistics , computer science , telecommunications , discrete mathematics , physics , estimator
We investigate an automatic method of determining a local bandwidth for non‐parametric kernel spectral density estimates at a single frequency. This procedure is a modification of a cross‐validation technique for global bandwidth choices, avoiding the computation of any pilot estimate based on initial bandwidths or on approximate parametric models. Only local conditions on the spectral density around the frequency of interest are assumed. We illustrate with a Monte Carlo study the performance in finite samples of the bandwidth estimates proposed.