MONOTONE SPECTRAL DENSITY ESTIMATION

• 成果类型: Article
• 署名作者: Anevski, Dragi; Soulier, Philippe
• 署名单位: Universite Paris Nanterre
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/10-AOS804
• 发表日期: 2011
• 页码: 418-438
• 关键词: LOG-PERIODOGRAM REGRESSION; long-range dependence; time-series

摘要

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.