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

László Györfi·Márton Ispány·Gyula Pap·Katalin Varga
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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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László Györfi, Márton Ispány, Gyula Pap, Katalin Varga. 2007-03-26. Poisson limit of an inhomogeneous nearly critical INAR(1) model. https://arxiv.org/abs/math/0703754

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