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

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.

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