Scaling limit of heavy tailed nearly unstable cumulative INAR($\infty$) processes and rough fractional diffusions
| Autor: | Wang, Yingli, Cai, Chunhao, He, Ping |
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| Rok vydání: | 2024 |
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| Druh dokumentu: | Working Paper |
| Popis: | In this paper, we investigated the scaling limit of heavy-tailed unstable cumulative INAR($\infty$) processes. These processes exhibit a power law tail of the form $n^{-(1+\alpha)}$, with $\alpha \in (\frac{1}{2}, 1)$, where the $\ell^1$ norm of the kernel vector is close to $1$. The result is in contrast to scaling limit of the continuous-time heavy tailed unstable Hawkes processes and the one of INAR($p$) processes. We show that the discrete-time scaling limit also has long-memory property and can also be seen as an integrated fractional Cox-Ingersoll-Ross process. Comment: arXiv admin note: text overlap with arXiv:1504.03100 by other authors |
| Databáze: | arXiv |
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