Monotone spectral density estimation
Dragi Anevski, Philippe Soulier
The Annals of Statistics · 2011 · Volume 39 · Issue 1
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.
Keywords
62E20, 62G05, 62M15, Gaussian process, limit distributions, linear process, long-range dependence, monotone, spectral density estimation
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