Long memory score-driven models as approximations for rough Ornstein-Uhlenbeck processes

Yinhao Wu and Ping He

Papers from arXiv.org

Abstract: This paper investigates the continuous-time limit of score-driven models with long memory. By extending score-driven models to incorporate infinite-lag structures with coefficients exhibiting heavy-tailed decay, we establish their weak convergence, under appropriate scaling, to fractional Ornstein-Uhlenbeck processes with Hurst parameter $H

Date: 2025-09
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