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.
Publié le : 2011-02-15
Classification:
Limit distributions,
spectral density estimation,
monotone,
long-range dependence,
Gaussian process,
linear process,
62E20,
62G05,
62M15
@article{1297779852,
author = {Anevski, Dragi and Soulier, Philippe},
title = {Monotone spectral density estimation},
journal = {Ann. Statist.},
volume = {39},
number = {1},
year = {2011},
pages = { 418-438},
language = {en},
url = {http://dml.mathdoc.fr/item/1297779852}
}
Anevski, Dragi; Soulier, Philippe. Monotone spectral density estimation. Ann. Statist., Tome 39 (2011) no. 1, pp. 418-438. http://gdmltest.u-ga.fr/item/1297779852/