Rousseau, Judith; Kruijer, Willem - Université Paris-Dauphine (Paris IX) - 2013
For a Gaussian time series with long-memory behavior, we use the FEXP-model for semi-parametric estimation of the long-memory parameter $d$. The true spectral density $f_o$ is assumed to have long-memory parameter $d_o$ and a FEXP-expansion of Sobolev-regularity $\be 1$. We prove that when $k$...