Data-Adaptive Estimation of Time-Varying Spectral Densities
Data-Adaptive Estimation of Time-Varying Spectral Densities
This paper introduces a data-adaptive non-parametric approach for the estimation of time-varying spectral densities from nonstationary time series. Time-varying spectral densities are commonly estimated by local kernel smoothing. The performance of these nonparametric estimators, however, depends crucially on the smoothing bandwidths that need to be specified in both time and …