Choice of the spectral window width by cross-validation: case of the almost periodically correlated process with continuous time. (English. French summary) Zbl 1504.62139

Summary: This work presents a procedure to choose the width of the spectral window used in the smoothing of a periodogram when estimating the spectral density of an almost periodically correlated process. The cross-validation procedure we propose is based on the estimation of the integrated square error by using the “Leave-out-I” principle.


62M15 Inference from stochastic processes and spectral analysis
62G07 Density estimation
62G20 Asymptotic properties of nonparametric inference
62G35 Nonparametric robustness
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