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Asymptotic Equivalence of Spectral Density Estimation and Gaussian White Noise
Stationary Gaussian process spectral density Sobolev classes Le Cam distance asymptotic equivalence Whittle likelihood log-periodogram regression nonparametric Gaussian scale model signal in Gaussian white noise
2015/8/25
We consider the statistical experiment given by a sample y(1), . . . , y(n) of a stationary Gaussian process with an unknown smooth spectral density f. Asymptotic equivalence, in the sense of Le Cam’s...
ASYMPTOTIC EQUIVALENCE OF SPECTRAL DENSITY ESTIMATION AND GAUSSIAN WHITE NOISE
ASYMPTOTIC EQUIVALENCE SPECTRAL DENSITY ESTIMATION GAUSSIAN WHITE NOISE
2015/8/25
We consider the statistical experiment given by a sample y(1), . . . , y(n) of a stationary Gaussian process with an unknown smooth spectral density f . Asymptotic equivalence, in the sense of Le Cam’...
Asymptotic equivalence of spectral density estimation and gaussian white noise
Stationary Gaussian process spectral density Sobolev classes Le Cam distance asymptotic equivalence
2010/3/18
We consider the statistical experiment given by a sample y(1), . . . , y(n) of a stationary
Gaussian process with an unknown smooth spectral density f. Asymptotic equivalence,
in the sense of Le Cam...
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.
...