Monotone spectral density estimation

Details Monotone spectral density estimation Monotone spectral density estimation

2009-01-22

arxiv.org/abs/0901.3471v3

Annals of Statistics 2011, Vol. 39, No. 1, 418-438

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/10-AOS804 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/10-AOS804

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.

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