SCALING LIMIT OF HEAVY-TAILED NEARLY UNSTABLE CUMULATIVE INAR(∞)
PROCESSES AND ROUGH FRACTIONAL DIFFUSIONS
Abstract
In this paper, we investigate the scaling limit of heavy-tailed unstable
cumulative INAR($\infty$) processes. These processes
exhibit a power-law tail of the form
$n^{-(1+\alpha)}$ for $\alpha
\in (\frac{1}{2}, 1)$, and the
$\ell^1$ norm of the kernel vector approaches $1$.
We show that the discrete-time scaling limit also has a long-memory
property and can be seen as an integrated fractional Cox-Ingersoll-Ross
process.