Adaptive Kernel Estimation of the Spectral Density with Boundary Kernel Analysis

MaRDI QIDQ4486620zbMATH OpenFDO

Authors Alexander Sidorenko, Kurt S. Riedel

Publication date 27 June 2000

Full work available at URL https://arxiv.org/abs/1803.03906

Mathematics Subject Classification ID

Density estimation (62G07) Inference from stochastic processes and spectral analysis (62M15)

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-multitaper estimate. This procedure reduces the expected mean square error by $(p{i}^{2}over4{)}^{.8}$ 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.

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