Abstract
This paper is concerned with the nonparametric spectral density estimation of a stationary Gaussian process. A new estimator of the spectral density is proposed by the bootstrap method. The asymptotic behavior of the estimate has been studied. The consistency and asymptotic normality of the estimate are given.
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This project is supported by the National Natural Science Foundation of China.
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Yu, D. Asymptotic behavior of bootstrap spectral window estimation. Acta Mathematicae Applicatae Sinica 13, 123–129 (1997). https://doi.org/10.1007/BF02015133
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DOI: https://doi.org/10.1007/BF02015133