Monotone spectral density estimation
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Publication:2429936
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.
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Cited in
(14)- Limit properties of the monotone rearrangement for density and regression function estimation
- Limit theory in monotone function estimation
- Limit distribution theory for block estimators in multiple isotonic regression
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