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

Budapest University of Technology; Economics) (2)(Department of Applied Mathematics; Faculty of Informatics; Gyula Pap (2); Information Theory; Katalin Varga (1) (1)(Department of Computer Science; L\'aszl\'o Gy\"orfi (1); M\'arton Isp\'any (2); Probability Theory; University of Debrecen)

arxiv: math/0703754 · v1 · submitted 2007-03-26 · 🧮 math.PR · math.ST· stat.TH

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

L\'aszl\'o Gy\"orfi (1) , M\'arton Isp\'any (2) , Gyula Pap (2) , Katalin Varga (1) (1)(Department of Computer Science , Information Theory , Budapest University of Technology , Economics) (2)(Department of Applied Mathematics , Probability Theory

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Faculty of Informatics University of Debrecen)

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keywords poissonautoregressiveconvergesinarinhomogeneousprocesscoefficientcompound

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

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