Penalised maximum likelihood estimation for fractional Gaussian processes

被引：7

作者：

Lieberman, O ^{[1
]}

机构：

[1] Technion Israel Inst Technol, Fac Ind Engn & Management, IL-32000 Haifa, Israel

来源：

BIOMETRIKA | 2001年 / 88卷 / 03期

关键词：

approximate modification; ARFIMA; Firth's formula; fractional differencing;

D O I：

10.1093/biomet/88.3.888

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

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.

引用

页码：888 / 894

页数：7

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