Giraitis, Liudas; Robinson, Peter M.; Samarov, Alexander - In: Journal of Multivariate Analysis 72 (2000) 2, pp. 183-207
In Giraitis, Robinson, and Samarov (1997), we have shown that the optimal rate for memory parameter estimators in semiparametric long memory models with degree of "local smoothness" [beta] is n-r([beta]), r([beta])=[beta]/(2[beta]+1), and that a log-periodogram regression estimator (a modified...
