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Local Asymptotic Normality for Mixed Fractional Brownian Motion with $0<H<3/4$ Local Asymptotic Normality for Mixed Fractional Brownian Motion with $0<H<3/4$

Chunhao Cai首次提交 2025-12-30 · 修订 2026-08-05 · v2arXiv预印本

Hurst 指数小于四分之三时混合分数布朗运动的局部渐近正态性AI 解读

This paper establishes the Local Asymptotic Normality (LAN) property for the mixed fractional Brownian motion under high-frequency observations with Hurst index $H \in (0, 3/4)$ . The simultaneous estimation of the volatility and the Hurst index encounters a degeneracy problem in the Fisher information matrix.This paper establishes the Local Asymptotic Normality (LAN) property for the mixed fractional Brownian motion under high-frequency observations with Hurst index $H \in (0, 3/4)$. The simultaneous estimation of the volatility and the Hurst index encounters a degeneracy problem in the Fisher information matrix.

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Parameter estimation for fractional autoregressive process with periodic structure

Chunhao Cai · Yiwu Shang首次提交 2025-03-26 · 修订 2025-09-14 · v2arXiv预印本

具有周期结构的分数自回归过程的参数估计AI 解读

This paper introduces a new periodic fractional autoregressive process (PFAR) driven by fractional Gaussian noise (fGn) to model time series of precipitation evapotranspiration. Compared with the similar model in [\emph{Water Resources Research}, \textbf{20} (1984) 1898--1908], the new model incorporates a periodic structure via specialized varying coefficients and captures long memory and rough voltality through fGn for $0<H<1$ , rather than via fractional differencing. In…This paper introduces a new periodic fractional autoregressive process (PFAR) driven by fractional Gaussian noise (fGn) to model time series of precipitation evapotranspiration. Compared with the similar model in [\emph{Water Resources Research}, \textbf{20} (1984) 1898--1908], the new model incorporates a periodic structure via specialized varying coefficients and captures long memory and rough voltality through fGn for $0<H<1$, rather than via fractional differencing. In…

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关联记录被引 0 次 ↗OpenAlex · 核验 2026-09-30

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Local Asymptotic Normality for Mixed Fractional Brownian Motion with 0<H<3/40<H<3/40<H<3/4Local Asymptotic Normality for Mixed Fractional Brownian Motion with $0<H<3/4$

Parameter estimation for fractional autoregressive process with periodic structure

Local Asymptotic Normality for Mixed Fractional Brownian Motion with $0<H<3/4$ Local Asymptotic Normality for Mixed Fractional Brownian Motion with $0<H<3/4$