Monotone spectral density estimation
(2011) In Annals of Statistics 39. p.418-438- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1494782
- author
- Anevski, Dragi LU and Soulier, Philippe
- organization
- publishing date
- 2011
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Limit distributions, spectral density estimation, monotone, long-range dependence, Gaussian process, linear process
- in
- Annals of Statistics
- volume
- 39
- pages
- 418 - 438
- publisher
- Institute of Mathematical Statistics
- external identifiers
-
- wos:000288183800014
- ISSN
- 0090-5364
- DOI
- 10.1214/10-AOS804
- language
- English
- LU publication?
- yes
- id
- fe0c9380-246d-4373-818f-02bc25c0f285 (old id 1494782)
- alternative location
- http://arxiv.org/pdf/0901.3471
- date added to LUP
- 2016-04-01 14:56:22
- date last changed
- 2018-11-21 20:31:47
@article{fe0c9380-246d-4373-818f-02bc25c0f285,
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.}},
author = {{Anevski, Dragi and Soulier, Philippe}},
issn = {{0090-5364}},
keywords = {{Limit distributions; spectral density estimation; monotone; long-range dependence; Gaussian process; linear process}},
language = {{eng}},
pages = {{418--438}},
publisher = {{Institute of Mathematical Statistics}},
series = {{Annals of Statistics}},
title = {{Monotone spectral density estimation}},
url = {{http://dx.doi.org/10.1214/10-AOS804}},
doi = {{10.1214/10-AOS804}},
volume = {{39}},
year = {{2011}},
}