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...

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...

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...