9 papers
Response Calculus for Spectral Simplicity and Joint Eigenvalue Densities
Chunhao Cai
We develop a perturbative response calculus for spectral problems obtained by changing the speed measure of a fixed symmetric energy form in a Gaussian environment. If Cameron--Mar…
A GPH-Filtered Hannan--Rissanen Information Criterion for ARFIMA Order Selection
Chunhao Cai
We propose a simple two-stage order selector for finite-order ARFIMA models. First, a preliminary log-periodogram estimate of the memory parameter is used to fractionally filter th…
Second-order PACF asymptotics and discrimination between fractional Gaussian noise and $\FARIMA(0,d,0)$
Chunhao Cai
Fractional Gaussian noise and $\FARIMA(0,d,0)$ have the same long-memory pole and hence the same leading PACF law . We show that this agreement breaks a…
Truncated Signature Information for Mixed Fractional Brownian Paths
Chunhao Cai
We study finite expected-signature information for mixed-fBm paths with Hurst indices above . Up to level three, the only parameter-dependent expected features are the varianc…
Boundary Inference for Mixed Fractional Models under High-Frequency Observation Critical LAN and Score Tests at
Chunhao Cai, Yiwu Shang, Weilin Xiao +1
We study boundary inference at for mixed fractional Brownian motion and mixed fractional Ornstein--Uhlenbeck models under high-frequency observation. This boundary is econo…
Local asymptotic normality for mixed fractional Ornstein-Uhlenbeck process under high-frequency observation
Chunhao Cai, Yiwu Shang, Cong Zhang
This paper consider the LAN property for the mixed O-U process under high-frequency observation when H>3/4. As considered in mixed fractional Brownian motion, we will also use the…