Adaptive Smoothing of the Log-Spectrum with Multiple Tapering

Kurt S. Riedel; A. Sidorenko

doi:10.1109/78.510625

paper

Adaptive Smoothing of the Log-Spectrum with Multiple Tapering

arXiv:1803.03995 · doi:10.1109/78.510625

Abstract

A hybrid estimator of the log-spectral density of a stationary time series is proposed. First, a multiple taper estimate is performed, followed by kernel smoothing the log-multiple taper estimate. This procedure reduces the expected mean square error by $(π^{2} /4)^{4/5}$ over simply smoothing the log tapered periodogram. A data adaptive implementation of a variable bandwidth kernel smoother is given.