Abstract.We propose a procedure for the locally optimal window width in nonparametric spectral estimation, minimizing the asymptotic mean square error at a fixed frequencyΛof a lag‐window estimator. Our approach is based on an iterative plug‐in scheme. Besides the estimation of a spectral density at a fixed frequency, e.g. at frequencyΛ= 0, our procedure allows to perform nonparametric spectral estimation with variable window width which adapts to the smoothness of the true underlying de
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