Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
低频及其他污染下长记忆过程的修正局部 Whittle 估计
We propose a modified local-Whittle estimator of the memory parameter of a long memory time series process which has good properties under an almost complete collection of contamination processes that have been discussed in the literature, mostly separately. These contaminations include processes whose spectral density functions dominate at low frequencies such as random level shifts, deterministic level shifts and deterministic trends. We show that our modified estimator…