Dalla, Violetta; Giraitis, Liudas; Hidalgo, Javier - Suntory and Toyota International Centres for Economics … - 2006
For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogramand local Whittle …, little is known about the estimation of the memory parameter fornonlinear processes. The purpose of this paper is to provide … general conditions under which the localWhittle estimator of the memory parameter of a stationary process is consistent and to …