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Kernel smoothing on the periodogram is a popular nonparametric method for spectral density estimation. Most important in the implementation of this method is the choice of the bandwidth, or span, for smoothing. One idealized way of choosing the bandwidth is to choose it as the one that minimizes the Kullback-Leibler (KL) discrepancy between the smoothed estimate and the true spectrum. However, this...
One popular method for nonparametric spectral density estimation is to perform kernel smoothing on the periodogram, and one important component of this method is the choice of the bandwidth (or span) for smoothing. This paper proposes a new bandwidth selection method that is based on a coupling of the so-called plug-in and the unbiased risk estimation ideas. This new method is easy to describe, simple...
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