Title

Penalised Maximum Likelihood Estimation for Fractional Gaussian Processes

Authors

Offer Lieberman

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.

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