Penalised Maximum Likelihood Estimation for Fractional Guassian Processes

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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Year of publication:	2001-12
Authors:	Lieberman, Offer
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	ARFIMA \| Firth's formula \| fractional differencing \| approximate modification

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Biometrika (2001), 88(3): 888-894 The price is None Number 1348 14 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005593251