Poisson limit of an inhomogeneous nearly critical INAR(1) model

2007/03/26 by Györfi, László, Ispány, Márton, Pap, Gyula +1
#60J27 #60J80 (Primary) #60J85 (Secondary) #FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.math/0703754

Abstract

An inhomogeneous first--order integer--valued autoregressive (INAR(1)) process is investigated, where the autoregressive type coefficient slowly converges to one. It is shown that the process converges weakly to a Poisson or a compound Poisson distribution.

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