Linex discrepancy for bandwidth selection

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

MATHEMATICS SUBJECT CLASSIFICATION:

• 62E99

Acknowledgments

The authors would like to thank the Editor and the two referees for careful reading and comments which greatly improved the paper.