Document Type
Discussion Paper
Publication Date
12-1-2001
CFDP Number
1348
CFDP Pages
14
Abstract
We apply and extend Firth’s (1993) modified score estimator to deal with a class of stationary Gaussian long-memory processes. Our estimator removes the first order bias of the maximum likelihood estimator. A small simulation study reveals the reduction in the bias is considerable, while it does not inflate the corresponding mean squared error.
Recommended Citation
Lieberman, Offer, "Penalised Maximum Likelihood Estimation for Fractional Gaussian Processes" (2001). Cowles Foundation Discussion Papers. 1612.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1612