Scaling limit of heavy tailed nearly unstable cumulative INAR($\infty$) processes and rough fractional diffusions

Yingli Wang, Chunhao Cai, Ping He +1

In this paper, we investigate the scaling limit of heavy-tailed nearly unstable cumulative INAR($\infty$) processes. These processes exhibit a power-law tail of the form $n^{-(1+α…