Aggregation of spectral density estimators
Date
2014Author
Chang, Christopher C.Politis, Dimitris Nicolas
Source
Statistics and Probability LettersVolume
94Pages
204-213Google Scholar check
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Given stationary time series data, we study the problem of finding the best linear combination of a set of lag window spectral density estimators with respect to the mean squared risk. We present an aggregation procedure and prove a sharp oracle inequality for its risk. We also provide simulations demonstrating the performance of our aggregation procedure, given Bartlett and other estimators of varying bandwidths as input. This extends work by P. Rigollet and A. Tsybakov on aggregation of density estimators. © 2014 Elsevier B.V.