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Monotone spectral density estimation

descriptionPublicationkeyboard_double_arrow_right Article , Preprint , Other literature type 01 Feb 2011Embargo end date: 01 Jan 2009 France Publisher:Institute of Mathematical StatisticsJournal:The Annals of Statistics, volume 39 (issn: 0090-5364, Copyright policy )
Authors: Anevski, Dragi; Soulier, Philippe;

doi: 10.1214/10-aos804 , 10.48550/arxiv.0901.3471

arXiv: http://arxiv.org/abs/0901.3471

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)

Country
France
Related Organizations
Keywords

62E20, shape restriction, spectral density estimation, [STAT.TH] Statistics [stat]/Statistics Theory [stat.TH], isotonic estimation, Mathematics - Statistics Theory, Statistics Theory (math.ST), linear process, monotone, 62M15, long-range dependence, spectral density, FOS: Mathematics, Limit distributions, 62G05, Gaussian process, [MATH.MATH-ST] Mathematics [math]/Statistics [math.ST]

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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
17
Average
Top 10%
Top 10%
Green
hybrid