Estimation of spectral density for seasonal time series models

Research output: Contribution to journalArticlepeer-review

3 Scopus citations


For estimating spectral densities of stationary seasonal time series processes, a new kernel is proposed. The proposed kernel is of the shape which is in harmony with oscillating patterns of the autocorrelation functions of typical seasonal time series process. Basic properties such as consistency and nonnegativity of the spectral density estimator are discussed. A Monte-Carlo simulation is conducted for multiplicative monthly autoregressive process and moving average process, which reveal that the proposed kernel provides more efficient spectral density estimator than the classical kernels of Bartlett, Parzen, and Tukey-Hanning.

Original languageEnglish
Pages (from-to)149-159
Number of pages11
JournalStatistics and Probability Letters
Issue number2
StatePublished - 1 Apr 2004

Bibliographical note

Funding Information:
The author is very grateful to the referee for the helpful comments which lead to an improvement of the paper. This work was supported by Korea Research Foundation Grant (KRF-2002-070-C0001).


  • Efficiency
  • Kernel
  • Spectral density


Dive into the research topics of 'Estimation of spectral density for seasonal time series models'. Together they form a unique fingerprint.

Cite this