Penalised Maximum Likelihood Estimation for Fractional Guassian Processes

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.ARFIMA, Firth's formula, fractional differencing, approximate modification