Frederiksen, Per; Nielsen, Frank S.; Nielsen, Morten … - School of Economics and Management, University of Aarhus - 2008
We propose a semiparametric local polynomial Whittle with noise (LPWN) estimator of the memory parameter in long memory time series perturbed by a noise term which may be serially correlated. The estimator approximates the spectrum of the perturbation as well as that of the short-memory...