01.
arXiv (math.PR)
2026-06-11
Second-order PACF asymptotics and discrimination between fractional Gaussian noise and $\operatorname{FARIMA}(0,d,0)$
作者:
arXiv:2605.31416v2 Announce Type: replace-cross Abstract: Fractional Gaussian noise and $\operatorname{FARIMA}(0,d,0)$ have the same long-memory pole $|\theta|^{-2d}$ and hence the same leading PACF law $\alpha(n)\sim d/n$. We show that this agreement breaks at the first non-universal order. For $0