Monotone spectral density estimation
Statistics Theory
2011-03-10 v3 Statistics Theory
Abstract
We propose two estimators of a monotone spectral density, that are based on the periodogram. These are the isotonic regression of the periodogram and the isotonic regression of the log-periodogram. We derive pointwise limit distribution results for the proposed estimators for short memory linear processes and long memory Gaussian processes and also that the estimators are rate optimal.
Keywords
Cite
@article{arxiv.0901.3471,
title = {Monotone spectral density estimation},
author = {Dragi Anevski and Philippe Soulier},
journal= {arXiv preprint arXiv:0901.3471},
year = {2011}
}
Comments
Published in at http://dx.doi.org/10.1214/10-AOS804 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)