Variable Bandwidth Kernel Estimators of the Spectral Density
Eva Ferreira, Juan M. Rodríguez Póo · Journal of Time Series Analysis · 1999
In this paper we investigate the theoretical properties of a nonparametric kernel regression estimator of the spectral density when the bandwidth is selected locally. We also analyze the relationship between the global and the locally selected bandwidths, presenting some simulation results and an application to the estimation of the spectral density of the Spanish money multiplier.