Proietti, Tommaso; Luati, Alessandra - School of Economics and Management, University of Aarhus - 2013
. After deriving the cepstrum of important classes of time series processes, also featuring long memory, we discuss likelihood … data with logarithmic link, focusing on the issue of separating the contribution of the long memory component to the log … the estimation of the log-spectrum and illustrate its potential for distilling the long memory component of the log-spectrum. …