Estimation of the Location and Exponent of the Spectral Singularity of a Long Memory Process

We consider the estimation of the location of the pole and memory parameter Wo and d of a covariance stationary process with spectral density (see paper for formula). We investigate optimal rates of convergence for the estimators of Wo and d, and the consequence that the lack of knowledge of Wo has on the estimation of the memory parameter d. We present estimators which achieve the optimal rates. A small Monte-Carlo study is included to illustrate the finite sample performance of our estimators