Penalised Maximum Likelihood Estimation for Fractional Guassian Processes

Offer Lieberman
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Offer Lieberman: Technion-Israel Institute of Technology

No 1348, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

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.

Keywords: ARFIMA; Firth's formula; fractional differencing; approximate modification (search for similar items in EconPapers)
JEL-codes: C10 C13 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2001-12
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Citations: View citations in EconPapers (3)

Published in Biometrika (2001), 88(3): 888-894

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Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1348

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