I would like to know on which precise formula/reference the "local whittle estimator" (which is printed after the 'pergm' command) is based. And/or in which source file do I find the relevant code?

On Tue, 23 Mar 2010, Allin Cottrell wrote: > > On Tue, 23 Mar 2010, Sven Schreiber wrote: > >> I would like to know on which precise formula/reference the "local >> whittle estimator" (which is printed after the 'pergm' command) is >> based. And/or in which source file do I find the relevant code? > > I can't give the reference offhand -- I guess Jack may be able to > -- but the code is in lib/src/describe.c: see the block of > functions named LWE_*. Robinson, P. (1995), "Gaussian Semiparametric Estimation of Long Range Dependence", Annals of Statistics, 23(5), p. 1630--1661.

While we're on the subject, the modified version by Shimotsu and Phillips would probably be nice to have too: Shimotsu, K. and Phillips, PCB (2005) "Exact local Whittle estimation of fractional integration", Annals of Statistics, 33(4), p. 1890--1933