Non‐Parametric Spectral Density Estimation Under Long‐Range Dependence
Non‐Parametric Spectral Density Estimation Under Long‐Range Dependence
One major aim of time series analysis, particularly in the physical and geo‐sciences, is the estimation of the spectral density function. With weakly dependent time processes, non‐parametric, kernel‐based methods are available for spectral density estimation, which involves smoothing the periodogram by a kernel function. However, a similar non‐parametric approach is …