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math.ST2026

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…

math.ST2026

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…

math.ST2026

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…

math.ST2026

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…