论文标题：Nonstationarity-extended Whittle estimation with discontinuity: A correction

　　发表时间：2020

　　论文所有作者：Cheung Ying Lun

　　期刊名及所属分类：Economics Letters(国际B)

　　英文摘要：The Whittle estimator is popular in finding the fractional integration order. The introduction of the extended periodogram allows to cover nonstationary time series. However, the objective functions of its two extended versions were found to be discontinuous at d = 1 ∕ 2 , resulting in a severe distortion in the empirical distribution. This letter provides a simple solution to this problem.

　　中文摘要：在求分数阶积分阶数时，惠特估计是常用的方法。扩展周期图的引入可以覆盖非平稳时间序列。然而，两个扩展版本的目标函数在d ="1/2处是不连续的，导致了经验分布的严重扭曲。这封信为这个问题提供了一个简单的解决方案。