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arxiv: 0901.3471 · v3 · pith:6XUMM6UFnew · submitted 2009-01-22 · 🧮 math.ST · stat.TH

Monotone spectral density estimation

classification 🧮 math.ST stat.TH
keywords estimatorsdensityisotonicmemorymonotoneperiodogramprocessesregression
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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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