Smoothed multiple taper spectral analysis and adaptive implementation

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-multitaper estimate. This procedure reduces the expected mean square error by ((/spl pi//sup 2/)/4)/sup 0.8/ over simply smoothing the log tapered periodogram. The optimal number of tapers is O(N/sup 8/(15/)). A data adaptive implementation of a variable bandwidth kernel smoother is given.<
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