Nonparametric Spectral Density Estimation Using Penalized Whittle Likelihood
基于惩罚 Whittle 似然的非参数谱密度估计
The penalized likelihood approach is not well developed in time series analysis, even though it has been applied successfully in a number of nonparametric function estimation problems. Chow and Grenander proposed a penalized likelihood-type approach to the nonparametric estimation of the spectral density of Gaussian processes. In this article this estimator is extended to more general stationary processes, its practical implementation is developed in some detail, and some…