Penalised maximum likelihood estimation for fractional Gaussian processes

DOI10.1093/BIOMET/88.3.888zbMath1006.62073OpenAlexW2056148571MaRDI QIDQ2775622

Offer Lieberman

Publication date: 10 March 2003

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/ab2545a61bba95d7732243865887f7ee5d1070c3

zbMATH Keywords

fractional differencingARFIMAapproximate modificationFirth's formula

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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