Miscellanea. A simple span selector for periodogram smoothing
杂记：周期图平滑的简易窗口宽度选择器
One approach to estimating the spectral density of a stationary time series is to smooth the periodogram and one important component of this approach is the choice of the span for smoothing. This note proposes a new span selector which is based on unbiased risk estimation. The proposed span selector is simple, and does not impose strong conditions on the unknown spectrum. For example, it does not require the unknown spectrum to possess a second derivative, which is a typical…