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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.