On adaptive selection of estimation bandwidth for analysis of locally stationary multivariate processes

When estimating the correlation/spectral structure of a locally stationary process, one should choose the so-called estimation bandwidth, related to the effective width of the local analysis window. The choice should comply with the degree of signal nonstationarity. Too small bandwidth may result in an excessive estimation bias, while too large bandwidth may cause excessive estimation variance. The paper presents a novel method of adaptive bandwidth selection. The proposed approach is based on minimization of the cross-validatory performance measure for a local vector autoregressive signal model and, unlike the currently available methods, does not require assignment of any user-dependent decision thresholds.