BROADBAND SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES USING FRACTIONAL EXPONENTIAL MODELS

We consider a fractional exponential, or FEXP estimator of the memory parameter of a stationary Gaussian long-memory time series. The estimator is constructed by fitting a FEXP model of slowly increasing dimension to the log periodogram at all Fourier frequencies by ordinary least squares, and reta