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SCALING LIMIT OF HEAVY-TAILED NEARLY UNSTABLE CUMULATIVE INAR(∞) PROCESSES AND ROUGH FRACTIONAL DIFFUSIONS
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  • CHUN-HAO CAI,
  • Ping He,
  • QING-HUA WANG,
  • YING-LI WANG
CHUN-HAO CAI
Sun Yat-Sen University
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Ping He
Shanghai University of Finance and Economics
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QING-HUA WANG
Shanghai University of Finance and Economics
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YING-LI WANG
Shanghai University of Finance and Economics

Corresponding Author:2022310119@163.sufe.edu.cn

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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.
14 Nov 2024Submitted to Mathematical Methods in the Applied Sciences
17 Nov 2024Submission Checks Completed
17 Nov 2024Assigned to Editor
22 Nov 2024Review(s) Completed, Editorial Evaluation Pending
13 Dec 2024Reviewer(s) Assigned