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  • Search: subject:"approximate modification"
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ARFIMA 1 Firth's formula 1 approximate modification 1 fractional differencing 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
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Lieberman, Offer 1
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Cowles Foundation for Research in Economics, Yale University 1
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Cowles Foundation Discussion Papers 1
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Penalised Maximum Likelihood Estimation for Fractional Guassian Processes
Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2001
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...
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