5 papers
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…
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…
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…
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…