Second-order PACF asymptotics and discrimination between fractional Gaussian noise and $\FARIMA(0,d,0)$
Year: 2026
Type: preprint
Abstract: Fractional Gaussian noise and $\FARIMA(0,d,0)$ have the same long-memory pole $|θ|^{-2d}$ and hence the same leading PACF law $α(n)\sim d/n$. We show that this agreement breaks at the first non-universal order. For $0
Source: arXiv (Cornell University)
Author: Cai, Chunhao
Institution: Sun Yat-sen University
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7163054771