Monotone spectral density estimation

Citation
Anevski, Dragi et Soulier, Philippe, Monotone spectral density estimation, Annals of statistics , 39(1), 2011, pp. 418-438
Journal title
ISSN journal
00905364
Volume
39
Issue
1
Year of publication
2011
Pages
418 - 438
Database
ACNP
SICI code
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.