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Unformatted text preview: er suitable conditions (and for a slightly different definition of d), it can be shown that, asymptotically, 2 ^ f ( (n) ) f () d . d 13 Nonparametric spectral estimation: the lag window
We can also view smoothing the spectrum in the frequency domain as smoothing in the time domain, via ^ f () =
|j|Ln wn (j)^ (j)e-2ij , where wn is the inverse Fourier transform of the spectral window. This is known as the lag window. Tapering techniques are also popular: Define yt = ht xt for some weighting function ht . Then the ta...
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- Fall '08