4 papers
Local Asymptotic Normality for Mixed Fractional Brownian Motion Under High-Frequency Observation
Chunhao Cai, Yiwu Shang
In this paper we will consider the LAN property for both the Hurst parameter and the variance of the fractional Brownian motion plus an independent standard Brownian motion…
Drift estimation for a partially observed mixed fractional Ornstein--Uhlenbeck process
Chunhao Cai
We consider estimation of the drift parameter in a \emph{partially observed} Ornstein--Uhlenbeck type model driven by a mixed fractional Brownian noise. Our framework…
Parameter estimation for fractional autoregressive process with seasonal structure
Chunhao Cai, Yiwu Shang
This paper introduces a new kind of seasonal fractional autoregressive process (SFAR) driven by fractional Gaussian noise (fGn). The new model includes a standard seasonal AR model…
Parameter estimation for fractional autoregressive process with periodic structure
Chunhao Cai, Yiwu Shang
This paper introduces a new periodic fractional autoregressive process (PFAR) driven by fractional Gaussian noise (fGn) to model time series of precipitation evapotranspiration. Co…