If you have done all of the above and your neighbor has responded by turning up the volume, now is the time to call the police. Try to get the police to come while the problem is occurring. However, don't be surprised if the police do not give this problem the priority that you do. They are often very busy with community problems that are a higher priority.
Of course, you can call the police the first time the problem occurs. But the police will be more sympathetic to your situation if they see that you have tried to solve the problem on your own. And if you have documented the nature and severity of the problem.