We consider the estimation of the location of the pole and memory parameter Wo and d of a covariance stationary process with spectral density (see paper for formula). We investigate optimal rates of convergence for the estimators of Wo and d, and the consequence that the lack of knowledge of Wo...

In this paper, we discuss two distinct multivariate time series models that extend the univariate ARFIMA model. We describe algorithms for computing the covariances of each model, for computing the quadratic form and approximating the determinant for maximum likelihood estimation, and for...