On Estimating the Spectral Densities of a Gaussian Periodically Correlated Stochastic Process

We propose and analyze nonparametric estimators of the spectral densities $f_j(\lambda)$, $j\in\mathbf Z$ of a Gaussian periodically correlated stochastic process $\xi(t)$, $t\in\mathbf R$, with mean $\mathbf M\xi(t)\equiv 0$. Some suggestions are made regarding the choice of parameters for estimation of the spectral density $f_j(\lambda)$.