Emergent Mind
Adaptive Smoothing of the Log-Spectrum with Multiple Tapering
(1803.03995)
Published Mar 11, 2018
in
stat.ME
,
eess.AS
,
eess.SP
,
math.ST
,
physics.data-an
,
and
stat.TH
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 $(\pi2/ 4){4/5} $ over simply smoothing the log tapered periodogram. A data adaptive implementation of a variable bandwidth kernel smoother is given.
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