Less, Vivien; Sibbertsen, Philipp - 2022
We propose a semiparametric multivariate estimator and a multivariate score-type testing procedure under a perturbed … multivariate fractional process. The estimator is based on the periodogram and uses a local Whittle criterion function which is … increase in the asymptotic variance of the estimator. Further, we introduce a multivariate testing procedure to detect spurious …