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英文文献：Local polynomial Whittle estimation of perturbed fractional processes
英文文献作者：Per Frederiksen,Frank S. Nielsen,Morten ?rregaard Nielsen
英文文献摘要：
We propose a semiparametric local polynomial Whittle with noise (LPWN) estimator of the memory parameter in long memory time series perturbed by a noise term which may be serially correlated. The estimator approximates the spectrum of the perturbation as well as that of the short-memory component of the signal by two separate polynomials. Furthermore, an empirical investigation of the 30 DJIA stocks shows that this estimator indicates stronger persistence in volatility than the standard local Whittle estimator.
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