We consider a parametric spectral density with power-law behaviour about a fractional pole at the unknown frequency !. The case of known !, especially ! = 0, is standard in the long memory literature. When ! is unknown, asymptotic distribution theory for estimates of parameters, including the...

We consider a parametric spectral density with power-law behaviour about a fractional pole at the unknown frequency !. The case of known !, especially ! = 0, is standard in the long memory literature. When ! is unknown, asymptotic distribution theory for estimates of parameters, including the...

The behavior of averaged periodograms and cross-periodograms of a broad class of nonstationary processes is studied. The processes include nonstationary ones that are fractional of any order, as well as asymptotically stationary fractional ones. The cross-periodogram can involve two...