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math.ST2026
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…
math.ST2025
Local Asymptotic Normality for Mixed Fractional Brownian Motion with
Chunhao Cai
This paper establishes the Local Asymptotic Normality (LAN) property for the mixed fractional Brownian motion under high-frequency observations with Hurst index . T…
math.ST2025
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…