Frederiksen, Per; Nielsen, Frank S.; Nielsen, Morten … - In: Journal of Econometrics 167 (2012) 2, pp. 426-447
We propose a semiparametric local polynomial Whittle with noise estimator of the memory parameter in long memory time series perturbed by a noise term which may be serially correlated. The estimator approximates the log-spectrum of the short-memory component of the signal as well as that of the...