This paper proposes an extension of the log periodogram regression in perturbed long memory series that accounts for … restriction as required for the original log periodogram regression in a fully observable series, with the corresponding gain in …

Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic …

The choice of the bandwidth in the local log-periodogram regression is of crucial importance for estimation of the …

This paper proposes simple Hausman-type tests to check for bias in the log-periodogram regression of a time series …

constructed in the frequency domain by comparing the goodness of fit in the log-periodogram regression under the varying …

with d > (1/2). It is shown that the log periodogram regression estimator of d is inconsistent when 1 < d < 2 and is …

We consider semiparametric log periodogram regression estimation of memory parameter for the latent process in long …

method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered …

method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered …