In this work, we study the partial sums of independent and identically distributed random variables with the number of terms following a fractional Poisson (FP) distribution. The FP sum contains the Poisson and geometric summations as particular cases. We show that the weak limit of the FP summation, when properly normalized, is a mixture between the normal and Mittag-Leffler distributions, which we call by Normal-Mittag-Leffler (NML) law. A parameter estimation procedure for the NML distribution is developed and the associated asymptotic distribution is derived. Simulations are performed to check the performance of the proposed estimators under finite samples. An empirical illustration on the daily log-returns of the Brazilian stock exchange index (IBOVESPA) shows that the NML distribution captures better the tails than some of its competitors. Related problems such as a mixed Poisson representation for the FP law and the weak convergence for the Conway-Maxwell-Poisson random sum are also addressed.
翻译:在这项工作中,我们研究了独立和相同分布的随机变量的部分总和,以及分数Poisson(FP)分布后的条件数量。FP总和包含作为特定案例的Poisson和几何总和。我们表明,FP总和的微弱限度,在适当正常化时,是正常分布与Mittag-Leffler分布之间的一种混合物,我们根据Sciental-Mittag-Leffler(NML)法称之为这种混合物。正在开发NML分布的参数估计程序,并得出相关的非抽取分布。进行模拟以检查在限定样品下拟议的估算器的性能。关于巴西股票交易所指数(IBOVESPA)的每日日日志回报率的实证说明表明,NML分布比某些竞争者更能捕捉到尾部。相关问题也得到了处理,例如Poisson混合法代表和Conway-Maxwell-Poisson随机总和弱的趋同性。