Spectral estimation for non-linear long range dependent discrete time trawl processes (Q2199705)

A discrete time trawl process \(X = {X_k}\), \(k \in \mathbb Z\), is defined by \[ X_k \sum^\infty_{j=0} \gamma_{k-j} (a_j ), \, k \in \mathbb{Z}. \] Discrete time trawl processes constitute a large class of time series parameterized by a trawl sequence \((a_j )_j \in \mathbb N\) and defined through a sequence of independent and identically distributed (i.i.d.) copies of a continuous time process \((\gamma(t))\), \( t \in \mathbb R\), called the seed process. They provide various examples of trawl processes. Although the usual causal linear models for long range dependence (such as ARFIMA processes) constitute specific examples of trawl processes, they here focus on the nonlinear models, and specify simple sufficient conditions implying the assumptions used in the general results. The proofs of the results are presented. Finally, they present numerical experiments focusing on the estimation of the long memory parameter \(d^{*}\) comparing their approach to the more classical local Whittle estimator, which is known to perform well for standard linear models.