Burning Sage

I've lived in many a home on the east coast but I've never until recently had encounters with a ghost. Some times in my bedroom I can clearly see, a dark form move about and then abruptly flee. I am generally quite brave and rarely feel afraid, just trying to understand why my space it chose to invade. What am I supposed to do? Whom do I petition, to finally rid this place of my ghostly apparition? I offered it space, to "live and let live" but it climbed in to my bed, it's intrusive. Could some one please advise me? Please hurry and be quick. I've heard that burning sage just might do the trick.