Automatic Smoothing of the Log Periodogram

Abstract

Consider an estimate of the log spectral density based on smoothing the log periodogram with a smoothing spline. This estimate is also a windowed estimate. An unbiased estimate R(lambda) of the expected integrated mean square error can be obtained as a function of the smoothing, or bandwidth parameter lambda. The smoothing parameter is then chosen as that lambda which minimizes R(lambda). The degree of the smoothing spline (equivalently, the shape parameter of the window) can also be chosen this way. Results of some Monte Carlo experiments illustrating the effectiveness of the method are given.

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Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1978
Accession Number
ADA059596

Entities

People

  • Grace Wahba

Organizations

  • University of Wisconsin Madison Department of Statistics

Tags

DTIC Thesaurus Topics

  • Automatic
  • Bandwidth
  • Data Science
  • Information Science
  • Military Research
  • Monitoring
  • Plastic Explosives
  • Security
  • Statistics
  • Universities
  • Wisconsin

Fields of Study

  • Mathematics

Readers

  • Approximation Theory.
  • Statistical inference.