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Linex discrepancy for bandwidth selection |
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| Authors: | H. Mombeni S. Nadarajah |
| Affiliation: | 1. Department of Statistics, Shahid Chamran University, Ahvaz, Iran;2. School of Mathematics, University of Manchester, Manchester, UK |
| Abstract: | A bandwidth selection based on Linex discrepancy is proposed for kernel smoothing of periodogram. The selection minimizes Linex discrepancy between the smoothed and true spectrums. Two estimators are introduced for Linex discrepancy. The bandwidth choice outperforms some common bandwidth choices. |
| Keywords: | Bandwidth selection Linex discrepancy Periodogram smoothing Spectral density estimation |