Poisson limit of an inhomogeneous nearly critical INAR(1) model
Probability
2007-06-13 v1 Statistics Theory
Statistics Theory
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.
Cite
@article{arxiv.math/0703754,
title = {Poisson limit of an inhomogeneous nearly critical INAR(1) model},
author = {László Györfi and Márton Ispány and Gyula Pap and Katalin Varga},
journal= {arXiv preprint arXiv:math/0703754},
year = {2007}
}
Comments
Latex2e pdfeTex Version 3, 22 pages, submitted to ACTA Sci. Math. (Szeged)