Adaptive Kernel Estimation of the Spectral Density with Boundary Kernel Analysis

03/11/2018

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by   Alexander Sidorenko, et al.

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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-multitaper estimate. This procedure reduces the expected mean square error by (π^2 4)^.8 over simply smoothing the log tapered periodogram. The optimal number of tapers is O(N^8/15). A data adaptive implementation of a variable bandwidth kernel smoother is given. When the spectral density is discontinuous, one sided smoothing estimates are used.