CROSS VALIDATED CHOICE OF THE SPECTRAL BANDWIDTH FOR A CONTINUOUS STATIONARY PROCESS

Authors
RACHDI M
Citation
M. Rachdi, CROSS VALIDATED CHOICE OF THE SPECTRAL BANDWIDTH FOR A CONTINUOUS STATIONARY PROCESS, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 327(8), 1998, pp. 777-780
Citations number
9
Categorie Soggetti
Mathematics,Mathematics
Journal title
Comptes rendus de l'Academie des sciences. Serie 1, Mathematique → ACNP
ISSN journal
07644442
Volume
327
Issue
8
Year of publication
1998
Pages
777 - 780
Database
ISI
SICI code
0764-4442(1998)327:8<777:CVCOTS>2.0.ZU;2-B
Abstract
We consider, in the setting of continuous time process, a kernel estim ator of the spectral density. We give the asymptotic expression of the mean integrated square error (MISE) and a method for selecting the as ymptotically optimal bandwidth. (C) Academie des Sciences/Elsevier, Pa ris.