Advanced

Monotone spectral density estimation

Anevski, Dragi LU and Soulier, Philippe (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:
author
organization
publishing date
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
Inst 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
2009-10-23 14:42:28
date last changed
2016-04-16 02:20:05
@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},
  keyword      = {Limit distributions,spectral density estimation,monotone,long-range dependence,Gaussian process,linear process},
  language     = {eng},
  pages        = {418--438},
  publisher    = {Inst Mathematical Statistics},
  series       = {Annals of Statistics},
  title        = {Monotone spectral density estimation},
  url          = {http://dx.doi.org/10.1214/10-AOS804},
  volume       = {39},
  year         = {2011},
}