DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
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TL;DR
A cross-validated form of Whittle's frequency domain approximation to the likelihood function of a stationary Gaussian process is described, and proposed as a criterion for choosing the bandwidth in a kernel spectrum estimate, and is shown to be equivalent to the mean integrated squared error.
Abstract
Abstract. A cross‐validated form of Whittle's frequency domain approximation to the likelihood function of a stationary Gaussian process is described, and proposed as a criterion for choosing the bandwidth in a kernel spectrum estimate. The criterion is shown to be equivalent, in large samples, to the mean integrated squared error. The statistical properties of the spectrum estimate whose bandwidth maximizes the criterion have been explored in a limited simulation.