Automatic cepstrum-based smoothing of the periodogram via cross-validation

In this paper we propose a fully automatic method for variance reduction of spectrum estimates. We use the technique of cepstrum thresholding, named SThresh, which is shown to be an effective, yet simple, way of obtaining a smoothed non-parametric spectrum estimate of a stationary signal. We obtain the threshold via a cross-validatory scheme and the results are shown to be in agreement with those obtained when the spectrum is fully known. We name our proposed method CV-SThresh.