Monotone spectral density estimation

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.

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

References in corpus (2)

• Correction. Efficient parameter estimation for self-similar processes
• A general asymptotic scheme for inference under order restrictions

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