Penalised maximum likelihood estimation for fractional Gaussian processes
分数高斯过程的惩罚极大似然估计
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.