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

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

2007-03-26

arxiv.org/abs/math/0703754v1

Mathematics

Probability

Latex2e pdfeTex Version 3, 22 pages, submitted to ACTA Sci. Math. (Szeged)

Scientific paper

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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