Bandwidth selection in nonparametric spectral density estimation of the stationary Gaussian process
The paper proposes a method for estimating the mean squared error and bandwidth of a windowed spectral density estimator of a stationary Gaussian process. It also provides a method for estimating the second-order derivation of the spectral density function. Asymptotic properties, convergence rates and some simulation results are also given.
scientific article; zbMATH DE number 1062660