Adaptive nonparametric kernel estimators for the location of a peak of the spectral density of a stationary time series are proposed and investigated. They are based on direct smoothing of the periodogram where the amount of smoothing is determined automatically in an asymptotically optimal fashion. These adaptive estimators minimize the asymptotic mean squared error. Adaptivity is derived from the weak convergence of a two-parameter stochastic process in a deviation and a bandwidth coordinate to a Gaussian limit process. Efficient global and local bandwidth choices which lead to adaptive peak estimators and practical aspects are discussed.
@article{1176348771,
author = {Muller, Hans-Georg and Prewitt, Kathryn},
title = {Weak Convergence and Adaptive Peak Estimation for Spectral Densities},
journal = {Ann. Statist.},
volume = {20},
number = {1},
year = {1992},
pages = { 1329-1349},
language = {en},
url = {http://dml.mathdoc.fr/item/1176348771}
}
Muller, Hans-Georg; Prewitt, Kathryn. Weak Convergence and Adaptive Peak Estimation for Spectral Densities. Ann. Statist., Tome 20 (1992) no. 1, pp. 1329-1349. http://gdmltest.u-ga.fr/item/1176348771/