Nonparametric high resolution spectral estimation

  title={Nonparametric high resolution spectral estimation},
  author={Rainer Dahlhaus},
  journal={Probability Theory and Related Fields},
SummaryThe uniform rate of convergence of the integrated relative mean square error over a (with the sample sizeT) increasing classIT of stationary processes is studied for several estimates of the spectral density. The classIT is chosen in a way such that estimates with a good uniform rate of convergence overIT may be termed ‘high resolution spectral estimates’. By using this criterion several effects are explained theoretically, for example the leakage effect. The advantages uf using data… CONTINUE READING