Adaptive Smoothing of the Log-Spectrum with Multiple Tapering

03/11/2018

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by   Kurt S. Riedel, 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-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.