英文文献：Local polynomial Whittle estimation of perturbed fractional processes-扰动分数阶过程的局部多项式惠特估计
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.

摘要本文提出了一种半参数局部多项式加噪声削减估计方法，该方法是对受噪声干扰的长记忆时间序列中记忆参数的估计。估计器通过两个单独的多项式近似摄动的谱以及信号的短记忆分量的谱。此外，对30只道指成分股的实证研究表明，该估计量比标准的局部惠特尔估计量显示出更强的波动性持久性。