For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogram and local Whittle estimators, has been exhaustively examined and their properties are well established. However, except for some specific cases, little is known about the estimation of the...

We describe and examine a consistent test for the correct specification of a regression function with dependent data. The test is based on the supremum of the difference between the parametric and nonparametric estimates of the regression model. Rather surprisingly, the behaviour of the test...

We consider the estimation of the location of the pole and memory parameter, amp;#955;lt;supgt;0lt;/supgt; and amp;#945; respectively, of covariance stationary linear processes whose spectral density function f(amp;#955;) satisfies f(amp;#955;) amp;#8764; C|amp;#955; amp;#8722;...

We frequently observe that one of the aims of time series analysts is to predict future values of the data. For weakly dependent data, when the model is known up to a finite set of parameters, its statistical properties are well documented and exhaustively examined. However, if the model was...