Translator Disclaimer
February 2011 Monotone spectral density estimation
Dragi Anevski, Philippe Soulier
Ann. Statist. 39(1): 418-438 (February 2011). DOI: 10.1214/10-AOS804

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.

Citation

Download Citation

Dragi Anevski. Philippe Soulier. "Monotone spectral density estimation." Ann. Statist. 39 (1) 418 - 438, February 2011. https://doi.org/10.1214/10-AOS804

Information

Published: February 2011
First available in Project Euclid: 15 February 2011

zbMATH: 1209.62206
MathSciNet: MR2797852
Digital Object Identifier: 10.1214/10-AOS804

Subjects:
Primary: 62E20, 62G05, 62M15

Rights: Copyright © 2011 Institute of Mathematical Statistics

JOURNAL ARTICLE
21 PAGES


SHARE
Vol.39 • No. 1 • February 2011
Back to Top