We consider the estimation of the location of the pole and memory parameter, ?0 and a respectively, of covariance stationary linear processes whose spectral density function f(?) satisfies f(?) ~ C|? - ?0|-a in a neighbourhood of ?0. We define a consistent estimator of ?0 and derive its limit...

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

This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett's Tp-process...

For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogramand 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 memory...

For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogramand 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 memory...