I never studied the versions of "whittle estimators" à la Robinson, Shimotsu. but I used the ARFIMA model for time series in a long memory study.

Dear Thiago,

Thanks a lot for your response!

How do you estimate the long memory Parameter in your ARFIMA models?

Further, I am interested in estimating the long memory parameter without specifying an underlying model like an ARFIMA.

See these articles:

Article Spectral bandwidth selection for long memory

Article Optimal spectral bandwidth for long memory

Article Estimation of long memory parameter in nonparametric regression