We consider the estimation of the location of the pole and memory parameter omega_0 and d of a covariance stationary process with spectral density Copyright 2004 Blackwell Publishing Ltd.

This article studies the asymptotic properties of the discrete Fourier transforms (DFT) and the periodogram of a stationary long-memory time series over different epochs. The main theoretical result is a novel bound for the covariance of the DFT ordinates evaluated on two distinct epochs, which...

We discuss two distinct multivariate time-series models that extend the univariate ARFIMA (autoregressive fractionally integrated moving average) model. We discuss the different implications of the two models and describe an extension to fractional cointegration. We describe algorithms for...