The Annals of Statistics

Monotone spectral density estimation

Dragi Anevski and Philippe Soulier

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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.

Article information

Source
Ann. Statist., Volume 39, Number 1 (2011), 418-438.

Dates
First available in Project Euclid: 15 February 2011

Permanent link to this document
https://projecteuclid.org/euclid.aos/1297779852

Digital Object Identifier
doi:10.1214/10-AOS804

Mathematical Reviews number (MathSciNet)
MR2797852

Zentralblatt MATH identifier
1209.62206

Subjects
Primary: 62E20: Asymptotic distribution theory 62G05: Estimation 62M15: Spectral analysis

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

Citation

Anevski, Dragi; Soulier, Philippe. Monotone spectral density estimation. Ann. Statist. 39 (2011), no. 1, 418--438. doi:10.1214/10-AOS804. https://projecteuclid.org/euclid.aos/1297779852


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