Spatially Adaptive Spectral Estimation

Oregon Convention Center 

Various approaches have been proposed to nonparametric estimation of the spectral density based on smoothing the periodogram. Most methods use a single smoothing parameter across all Fourier frequencies which may result in a biased estimate. Our approach to smoothing the periodogram is to place a dynamic shrinkage prior such that varying degrees of smoothing may be applied to different intervals of the Fourier frequencies resulting in an improved estimate of the spectrum.