| dc.contributor.author | Chang, Christopher C. | en |
| dc.contributor.author | Politis, Dimitris Nicolas | en |
| dc.creator | Chang, Christopher C. | en |
| dc.creator | Politis, Dimitris Nicolas | en |
| dc.date.accessioned | 2019-12-02T10:34:14Z | |
| dc.date.available | 2019-12-02T10:34:14Z | |
| dc.date.issued | 2014 | |
| dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/56578 | |
| dc.description.abstract | 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. | en |
| dc.source | Statistics and Probability Letters | en |
| dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84907353161&doi=10.1016%2fj.spl.2014.07.017&partnerID=40&md5=2a18c5f12ba738d4b4032a54b8147b1d | |
| dc.subject | Estimation | en |
| dc.subject | Time series analysis | en |
| dc.subject | Spectral analysis | en |
| dc.title | Aggregation of spectral density estimators | en |
| dc.type | info:eu-repo/semantics/article | |
| dc.identifier.doi | 10.1016/j.spl.2014.07.017 | |
| dc.description.volume | 94 | |
| dc.description.startingpage | 204 | |
| dc.description.endingpage | 213 | |
| dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
| dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
| dc.type.uhtype | Article | en |
| dc.description.notes | <p>Cited By :1</p> | en |
| dc.source.abbreviation | Stat.Probab.Lett. | en |
