Monotone spectral density estimation

Dragi Anevski, Philippe Soulier

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
Pages (from-to)418-438
JournalAnnals of Statistics
Volume39
DOIs
Publication statusPublished - 2011

Subject classification (UKÄ)

  • Probability Theory and Statistics

Keywords

  • Limit distributions
  • spectral density estimation
  • monotone
  • long-range dependence
  • Gaussian process
  • linear process

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