Penalised maximum likelihood estimation for fractional Gaussian processes

• 成果类型: Article
• 署名作者: Lieberman, O
• 署名单位: Technion Israel Institute of Technology
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/88.3.888
• 发表日期: 2001
• 页码: 888894
• 关键词: time-series; parameter; ARMA

摘要

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.