On the use of Kolmogorov structure function for periodogram smoothing

In a recent series of papers, it was shown how the periodogram can be smoothed by thresholding the estimated cepstral coefficients either with a carefully designed uniformly most powerful unbiased test (UMPUT), or with the Bayesian information criterion (BIC). In this paper, we devise a fully automatic scheme that selects the threshold by using the Kolmogorov structure function (KSF). For the numerical examples taken from the previous literature, the newly proposed method compares favorably with the existing schemes.