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Iosif Pinelis
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This is not true. Indeed, suppose that $X_k=X_{s;k}=k+sZ_k$, where $s\downarrow0$ and the $Z_k$'s are any iid random variables r.v.'s.

To obtain a contradiction, suppose that, for the random Borel measure $\mu_s$ over $\mathbb R$ defined by $\mu_s(B):=\sum_{k\in\mathbb Z}1(X_{s;k}\in B)$, the distribution of the random variable (r.v.) $\mu_s(B)$ is Poisson with parameter $\lambda(s)|B|$ for some $\lambda(s)>0$ and all Borel $B$, where $|B|$ is the Lebesgue measure of $B$.

Note that \begin{equation} \mu_s((-1/2,1/2))\to1 \tag{1} \end{equation} in probability (see details on (1) below). Therefore and because the r.v. $\mu_s((-1/2,1/2))$ has the Poisson distribution with parameter $\lambda(s)$, necessarily $\lambda(s)\to0$ and hence $\mu_s((-1/2,3/2))\to1$ in probability. However, similarly to (1) we have $\mu_s((-1/2,3/2))\to2$ in probability, a contradiction.

So, the random measure $\mu_s$ cannot be Poisson for all $s>0$.


Proof of (1): Note that $\mu_s(B)=\sum_{k\in\mathbb Z}1(Z_k\in\frac{B-k}s)$ and hence \begin{equation} E|\mu_s((-1/2,1/2))-1|\le s_1+s_2, \end{equation} where \begin{equation} s_1:=1-P\Big(Z_1\in\Big(\frac{-1/2}s,\frac{1/2}s\Big)\Big)\to0 \end{equation} and
\begin{equation} s_2:=\sum_{k\in\mathbb Z\setminus\{0\}}P\Big(Z_1\in\Big(\frac{-1/2-k}s,\frac{1/2-k}s\Big)\Big)\le s_1\to0. \end{equation} So, by Markov's inequality, (1) follows.

Iosif Pinelis
  • 127.7k
  • 8
  • 107
  • 229