Optimal spectral kernel for long-range dependent time series

被引：2
|
作者：
Delgado, MA
Robinson, PM
机构：
[1] UNIV CARLOS III MADRID,GETAFE 28903,MADRID,SPAIN
[2] UNIV LONDON LONDON SCH ECON & POLIT SCI,LONDON,ENGLAND
来源：
STATISTICS & PROBABILITY LETTERS | 1996年 / 30卷 / 01期
基金：
英国经济与社会研究理事会;
关键词：
long-range dependence; spectral analysis; optimal kernel;
D O I：
10.1016/0167-7152(95)00199-9
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：37 / 43
页数：7
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