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Biometrika 2001 88(3):888-894; doi:10.1093/biomet/88.3.888
© 2001 by Biometrika Trust
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Miscellaneous

Penalised maximum likelihood estimation for fractional Gaussian processes

Offer Lieberman1

1 Faculty of Industrial Engineering and Management, Technion—Israel Institute of Technology, Haifa 32000, Israelofferl{at}ie.technion.ac.il

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.

Key Words: Approximate modification; ARFIMA; Firth's formula; Fractional differencing

Received August 1999. Revised December 2000


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